26 мар. 2023 г. · Let us assume we have two FX rates: 1EUR=S(1)tUSD and 1GBP=S(2)tUSD. Let K1>0,K2>0 be strictly positive values and a payoff at some time T>0 ( ...

5 авг. 2024 г. · For example, for a dual digi (both calls) with price of 1 being 0.7 and price of 2 being 0.8, we know that the min dual price (when the ...

23 мар. 2017 г. · They are called barrier digital options. They are path-dependent and for this reason there isn't a closed form solution. You can use Monte-Carlo or Binomial ...

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.

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 large drops in ... Не найдено: example | Нужно включить: example

24 февр. 2018 г. · A call spread with strikes at K−ε and K+ε will approximate the payoff diagram of a digital option with strike K if ε is small.

13 окт. 2022 г. · I'm trying to price a EURUSD digital knockout in QuantLib/Python. Ideally would like to get the same output as this stylized Bloomberg OVML model.

I have a digital option that pays out $1M at time T if the price of the underlying stock is higher than $1300 (with current price ~$1000) and, obviously, zero ...

1 нояб. 2021 г. · The one touch option price is approximately twice the delta of an equivalent vanilla option(where the barrier of the one touch option is used to represent the ...

22 нояб. 2021 г. · A window barrier option is one where the barrier is monitored only during an interval starting after "today" and ending before the option matures.