0
$\begingroup$

I have implemented a monte carlo pricer for an option. I simply don't know how many decimals I need to include in the quoted price. Can anyone please provide guidelines?

$\endgroup$
  • 1
    $\begingroup$ Most exchange-traded options trade in pennies (2 digits past the decimal point); FOREX options trade in pips (4 digits past the decimal point). Some FOREX brokers will quote the underlying in decipips (5 digits past decimal), but I haven't seen anyone do this for options (yet...?) $\endgroup$ – user59 Oct 15 '11 at 19:39
3
$\begingroup$

Go to the website of the exchange that lists the option you care about and look at the contract specifications for that option.

| improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.