"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.
The week on Risk.net, November 25-December 1, 2016Receive this by email