Online FX options pricing vendor SuperDerivatives has added European-style knock-out and knock-in options to its pricing system."Although European knock-out and knock-in options are a bit of a niche product, they are particularly popular with certain sets of European corporate treasuries," said chief executive officer at SuperDerivatives in London, David Gershon.
"We were specifically asked if it was possible that we could add these options to the system, which we were able to do within an extremely short space of time," he added.
The instruments gained their name because they have a barrier to cancel (knock-out) or activate (knock-in) the option, and this is only effective at the time of the option’s expiry. In the US version, the barrier can be triggered at any time. Prices are calculated in a single step using real-time market data - whereas they are usually calculated by combining the prices of several different types of options.
SuperDerivatives launched its exotic options pricing system in May, and in August upgraded its website to calculate prices at client sites instead of the server’s site, making calculations faster. The firm claims to be the only FX options pricing vendor that reflects where the market is trading, in contrast to other ‘theoretical’ pricing systems.
Topics: David Gershon
More on Infrastructure
US regulatory concerns about liquidity of government securities collateral could be resolved by access to the Fed’s discount window, CCP officials say
High-frequency traders have been viewed with suspicion for some time. Now critics claim exchanges are conspiring with the traders to develop tools that benefit them and disadvantage ordinary investo...
The benefits of local trade repositories outweigh the possible disadvantages of multiple reporting requirements, says executive director of HKMA’s financial infrastructure unit
Sign up for Risk.net email alerts
Sanjay Sharma talks about risk transparency and how his book helps achieve it.
A five-minute formula from Alexander Denev that takes you through a simple probabilistic graphical model and explains how and why these are used. Find out more about the ground-breaking book, Probabilistic...
Industry leader Vincent Kaminski discusses the challenges faced by energy markets and his new book, Managing Energy Price Risk, 4th Edition.
Momtchil Pojarliev talks about his book, The Role of Currency in Institutional Portolios, currency investing and the potential role of currencies in institutional portfolios.
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.