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Analytic Financial “Asset-or-nothing digitals” Mahamadi Ouoba Amina El Gaabiry David Johansson.

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Presentation on theme: "Analytic Financial “Asset-or-nothing digitals” Mahamadi Ouoba Amina El Gaabiry David Johansson."— Presentation transcript:

1 Analytic Financial “Asset-or-nothing digitals” Mahamadi Ouoba 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 1 Payoff 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 binary asset-or- nothing :

6 The Greeks

7 Delta (∆)

8 Gamma (Γ)

9 Rho (ρ)

10 Vega ( ϒ )

11 Theta (Θ)

12 Numerical derivatives


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