Welcome to the Quant Equation Archive!
The Quant Equation Archive is a community project
to share and organize quantitative financial equations.
Option Relations, Parity and Symmetry
-->
|
| The barrier ''in-out parity'' relation is quite simple: having both a 'in' and 'out' option ensures that is one option gets knocked-out the other will be knocked-in. full text » |
 |
|
| The option on the best of two assets has a value which is the sum of one asset plus the value of an option on the spread between the assets. full text » |
|
|
| The value of a best-of-two-and-cash option equals the cash amount plus a rainbow-best-of-two call option with the strike set to the cash amount. full text » |
|
|
| Call-Put parity relation for binary asset-or-nothing options. Owning both a binary call and put option will always result in owning the asset at expiration. full text » |
|
|
| Call-Put parity relation for binary cash-or-nothing options. Owning both a binary call and put option will always result in a fixed payment B at expiration. full text » |
|
|
| The value of a put option on the maximum of two assets equals the strike, minus the zero-call option on the maximum of two assets, plus the call on the maximum of two assets. full text » |
|
|
| The value of a put option on the minimum of two assets = the strike - the zero-call option on the minimum of two assets + the call on the minimum of two assets. full text » |
|
|
| Call-Put parity relation for European Vanilla options. full text » |
|
|
| The option on the worst of two assets has a value which is the sum of one asset minus the value of an option on the spread between the assets. full text » |
|
|
| The value of a worst-of-two-and-cash option equals the cash amount minus a rainbow-worst-of-two put option with the strike set to the cash amount. full text » |
|
|