How to derive an analytic formula of greeks for binary option? We know a vanilla option can be constructed by an asset-or-nothing call and a cash-or-nothing call, does that help us? Wikipedia states ...
Is this true and how would you prove it
Given r=0, σ(K)=const Binary=lim┬(ε→0)〖((C(K,σ(K))-C(K+ε,σ(K+ε))))/ε〗 What is the analytical expression for the binary option value? σ(K)=const Therefore, Binary=lim┬(ε→0)〖((C(K)-C(K+ε)))/ε〗 ...
I am trying to generate a custom tick index using two indices (Let's say australian index ASX 200 and Japenese Index NKY). Japan index ticks every 10 seconds...and australia ticks every 30/35 seconds. ...