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Analytic Financial “Asset-or-nothing digitals”

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:.

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Analytic Financial “Asset-or-nothing digitals”

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  1. Analytic Financial“Asset-or-nothing digitals” MahamadiOuoba Amina El Gaabiry David Johansson

  2. Definition of Asset-or-Nothing: • An exotic option • Binary • The Asset-or-Nothing Call option • The Asset-or-Nothing Put option

  3. Payoff graphs: • Figure 1Payoff of binary asset-or-nothing call option with strike price 40 .

  4. Figure 2 Payoff of binary asset-or-nothing put option with strike price 40.

  5. The price of a binaryasset-or-nothing : • Call option : • Put option:

  6. The Greeks • Definition of Greeks • The PDE of d :

  7. Delta (∆) • Call option: = • Put option:

  8. Gamma (Γ) • Call/Put option:

  9. Rho (ρ) • Call option: = • Put option:

  10. Vega (ϒ) • Call option: • Put option:

  11. Theta (Θ) • Call option: • Put option:

  12. Numerical derivatives

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