请问版主,barrier option中,是要考虑一天中所有的价格是否hit到barrier,还是只要考虑收盘价是否hit到barrier。因为我在文献中看到说是,为了防止利用时差套利云云,就一般选择监视收盘价即可。
Limiting barrier events to end-of-day prices may indeed provide the benefits you described.
For this contest, please assume intraday highs/lows can also trigger barrier knock-outs/-ins.