I would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff;
Could you ^please help me !
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Sign up to join this communityI would like to price options (call, put,, butterfly) with monte-carlo method, but actually I need the expression of the butterflay payoff;
Could you ^please help me !
A butterfly in general has a payoff of the form \begin{align*} (X_T-K_c)^+ + (K_p-X_T)^+-(X_T-K_{atm})^+-(K_{atm}-X_T)^+, \end{align*} where $X_T$ is the asset value at maturity $T$, while $K_c$, $K_p$, and $K_{atm}$ are strike levels.