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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:.

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analytic financial asset or nothing digitals

Analytic Financial“Asset-or-nothing digitals”

MahamadiOuoba

Amina El Gaabiry

David Johansson

definition of as set or nothing
Definition of Asset-or-Nothing:
  • An exotic option
  • Binary
  • The Asset-or-Nothing Call option
  • The Asset-or-Nothing Put option
payoff graphs
Payoff graphs:
  • Figure 1Payoff of binary asset-or-nothing call option with strike price 40 .
the greeks
The Greeks
  • Definition of Greeks
  • The PDE of d :
delta
Delta (∆)
  • Call option:

=

  • Put option:
gamma
Gamma (Γ)
  • Call/Put option:
slide9
Rho (ρ)
  • Call option:

=

  • Put option:
slide10
Vega (ϒ)
  • Call option:
  • Put option:
theta
Theta (Θ)
  • Call option:
  • Put option: