The Pricing Analysis Of Multi-Conditional Barrier Option

In recent years,financial derivatives have been provided broader development space.OTC options,as the individualized financial instruments,can be tailored to investors and are highly flexible to meet the diverse investment needs,either as a mere option or embedded in structured products.Nowadays,more and more securities companies,the subsidiaries of futures companies and private equity funds are constantly taking part in the OTC trading.Barrier option,as an OTC exotic option,is very popular with investors and have a rapid development pace.But with increasing complexity of the yield structure,its pricing process becomes more and more complicated.A typical barrier option sets no more than two barrier prices.The option becomes effective or invalid when the barrier is touched.The multi-conditional redeemable barrier options studied in this paper are based on the common barrier options.They include the redeemable mechanism and the multi-condition observation rules which trigger the automatic redemption when the redemption price is touched.In addition,when the price path of the underlying asset meets a certain special condition,the multi-condition observation rules will be triggered and new observation rules will be added to affect the final profit of the product.M-binary options are the core of a multi-conditional barrier option.In this paper,we decompose the multi-conditional barrier option into several M-binary options and synthesize the theoretical price of the option through product decomposition.At the same time,Monte Carlo simulation method is used to give the numerical pricing of the option.Finally,pricing analysis and sensitivity analysis of the option is made to the actual product —— CICC "Phoenix auto redeemable" product.