EBA · 2019_5064 Rejected question

Barrier options

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
279a, para. 1
Topic
Market risk
Submitted by
Credit institution
Submitted
2019-12-24
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Question

Should barrier options also be seen as call and put options to which the standard supervisory delta formula as expressed in article 279c(1a) should be applied ?

Background

The delta is quit instable for barrier options which does not seem to make the supervisory delta approach suitable for these type of options.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_5064

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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