1

I want to ask, what is the meaning of this symbol in red circle?

enter image description here

Wind
  • 209
  • 1
    It is a "one" meaning "Characteristic function" (or "indicator function) of the set placed as the index : 1 on this set, 0 outside; sometimes the alternative 1/0 is meant as true/false. – Jean Marie Aug 22 '20 at 16:20
  • 1
    It's standard notation for the characteristic function. In your case, for, say, the up-and-in option, it is $1$ if the asset price ever got to $B$ or greater and it is $0$ otherwise. – lulu Aug 22 '20 at 16:21

1 Answers1

2

This function is a characteristic or an indicator function. Exact description of this function you can find e.g. here https://en.wikipedia.org/wiki/Indicator_function.

Novice
  • 1,127