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Option Pricing Models
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| The asset-or-nothing digital option give the underlying asset S as payout when it ends ends up above (call) or below (put) the strike K at expiration.
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| The cash-or-nothing digital option give a fixed payout of M when the underlying S ends up above (call) or below (put) the strike K. full text » |
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| This option pricing model is known as the Margrabe model for exchange options. The exchange option allows the holder to exchange one asset for another at expiration. full text » |
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| The equations are the greeks: delta, gamma, vega, theta, rho of the generalized Black and Scholes option model. full text » |
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| These equations are used for pricing European call options and put options on stocks, futures and currencies.
These equations are known as the generalized Black & Scholes model. Three well known models are special cased of this equation (hence the term 'generalized'):
* Y=r Black & Scholes model for options on stock
* Y=0 Black model for options on futures
* Y=r-rf Garman Colhagen for options on currencies
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| This equation uses the Gauss-Legendre quadrature to approximate the value of a spread option. The Gauss-Legendre quadrature abscissas (Xi) are rescaled in the range -4 to +4. The equation is unbiased and gives very accurate results, typical 6 digit accuracy with 16 quadrature points. The method was describes by K. Ravindran in his paper "Low-fat spreads" (1993) RISK 6 (10) 56--57.
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| This option pricing model is an extension to the Margrabe model for exchange options. The exchange option allows the holder to exchange one asset for another at expiration. This extension exchange option has the extension that the holder can exchange one asset to another at different times. full text » |
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