Digital options pricing. A STUDY ON THE PRICING OF DIGITAL CALL OPTIONS. Bruce Haydon, Citigroup Treasury Finance. ABSTRACT. This study attempts to examine the valuation of a binary call option through three different methods – closed form (analytical solution) using Black-Scholes, Explicit Finite-Difference, and Monte Carlo.

Digital options pricing

digital options pricing

Digital options pricing. This MATLAB function computes cash-or-nothing option prices using the Black-Scholes option pricing model.

Digital options pricing


Translated by Mouseover text to see original. Click the button below to return to the English verison of the page. This page has been translated by MathWorks. Please click here To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation. The annualized, continuously compounded rate term structure.

For information on the interest rate specification, see intenvset. NINST -by- 1 vector of settlement or trade dates. NINST -by- 1 cell array of character vectors with values of 'call' or 'put'.

NINST -by- 1 vector of strike price values. NINST -by- 1 vector of payoff values or the amount to be paid at expiration. Using this data, calculate the price of the call and put cash-or-nothing options on the futures contract. First, create the RateSpec:. Choose your country to get translated content where available and see local events and offers. Based on your location, we recommend that you select: Trial Software Product Updates. This is machine translation Translated by.

Arguments RateSpec The annualized, continuously compounded rate term structure. Maturity, OptSpec, Strike, Payoff. Was this topic helpful? Select Your Country Choose your country to get translated content where available and see local events and offers. NINST -by- 1 vector of maturity dates.


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