analytic financial “asset-or-nothing digitals”
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Analytic Financial “Asset-or-nothing digitals”. Mahamadi Ouoba Amina El Gaabiry David Johansson. Definition of As set-or-Nothing :. An exotic option Binary The Asset-or-Nothing Call option The Asset-or-Nothing Put option. Payoff graphs:. - PowerPoint PPT Presentation
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Analytic Financial“Asset-or-nothing digitals”
Mahamadi OuobaAmina El GaabiryDavid Johansson
Definition of Asset-or-Nothing:
An exotic option
Binary
The Asset-or-Nothing Call option The Asset-or-Nothing Put option
Payoff graphs:
Figure 1 Payoff of binary asset-or-nothing call option with strike price 40 .
Figure 2 Payoff of binary asset-or-nothing put option with strike price 40.
The price of a binary asset-or-nothing :
Call option :
Put option:
The Greeks
Definition of Greeks
The PDE of d :
Delta (∆)
Call option: =
Put option:
Gamma (Γ)
Call/Put option:
Rho (ρ)
Call option:=
Put option:
Vega (ϒ)
Call option:
Put option:
Theta (Θ)
Call option:
Put option:
Numerical derivatives
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