My son is an avid skateboarder, and this is the reason why I know two or three of skateboarding vocabulary. I assume that the general public would name an obstacle like the following one as halfpipe but the correct word is miniramp because it (the miniramp) has no vertical boudaries.
The Miniramp Option was plotted as the value of a chooser option: At expiry of the chooser option, the holder of the chooser option has the right to decide if the chooser option should be exchanged into a call or into a put option on the same underlying with the same strike price at a future expiry date of the respective vanilla options.
Chapter 6 of the Workout is aimed at formulating terminal conditions, interface conditions (as the above menstioned chooser interface condition) and boundary conditions, which are of particular importance when the domain of calculation is, in principle, unbounded. I will discuss this boundary conditions aspect in a future post.
Advanced skaters enjoy gaps and jumps. Therefore I introduced two discrete dividend payments into the miniramp option. Can you explain why the dividend steps are non-symmetric?
If you cannot explain it: You can preorder the
Workout.
