What's the HV of the stock?? Present a historical price return distribution of the stock,and pray the past is an indicator of the future Or simply hire a quant well versed in Tradex-physics
In other words you are using brute force to predict the possible behavior of a semi-random event (the up and down movements of a stock). Have you tried a similar approach in the past?
I would use a binomial or trinomial tree with local vols implied by the surface and run montecarlo on that.
There are people on this board would could price it for you, but you're known, so as a buyer of the structure you're fucked bc the mkt would be skewed against you. There is no utility in pricing it the way you're asking. The complexity would make the market stupid wide. You buy a $90 touch. You buy a $110 no touch (sell a touch). **** Barrier is touched **** You buy an $80 no touch (sell a touch).
Did my BSc thesis in applied mathematics on something like that. Up/Downs are random and not iid. With computational power cheap and fast, brute force looks fine to me, especially given the complexity with possible intraday barrier breaks, for which one imho has to interpolate or use smaller time steps than daily with more sophisticated distributions (ie. a 5min change in first half hour will be more than around noon).
And you can do this Monday on binary.com. You're $100MM away from having an ISDA or $10MM from trading on a PB's ISDA, so what exactly is the point?