12 февр. 2016 г. · Delta of a digital (or binary) option is like the normal distribution probability function , approaching 0 at far OTM / ITM conditions and ...

12 янв. 2018 г. · No. The deltas are very different particularly when they are approaching the strike and expiry. You have one instrument that pays off ...

4 дек. 2015 г. · That is, the digital option price has the same shape as the corresponding call option delta N(d1). Similarly, the digital option delta ∂N(d1−σ√T) ...

29 сент. 2016 г. · Mathematically, the gradient of a step function is a dirac delta function, so infinite delta is actually correct (but useless).

26 июн. 2019 г. · The mnemonic I like is "the price of the binary option looks like the delta of a vanilla option, the delta of a binary option looks like the ...

10 дек. 2022 г. · I am looking for an approximation without using IV. A very rough approximation is fine as long as an approximation holds the correct limit behavior.

1 мар. 2017 г. · I have been asked to prove mathematically that a binary option close to maturity should be hedged using a call spread with the same maturity.

3 апр. 2021 г. · A binary option pays an amount of money if an event takes place and zero otherwise. Binary options are usually used to insure portfolios against ...

What is the shape of the delta graph of the binary option? I was wondering what the shape of the graph of the delta or the binary option would be. greeks ...

20 апр. 2017 г. · Dual Delta is the derivative of option value with respect to the strike: ∂C∂K. The ordinary Delta is of course ∂C∂S.