• David Lee deposited Fade Option Valuation in the group Group logo of Public HumanitiesPublic Humanities on Humanities Commons 3 months, 2 weeks ago

    We present a pricing model for fade option. A fade option can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity.