Questions tagged [digital]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers

Why Delta of digital option is higher than the payoff [closed]

I am valuing a digital fx option on USDINR on 27th dec 2022, with a payoff of 1MUSD, strike of 83.14INR, put on USD. The premium is 490k USD whereas the delta is 16M USD. Could you please help me in ...
1 vote
0 answers

Pricing Option with Payoff of $S_T$ units of a European Digital Call [duplicate]

I am in a Black Scholes market with the usual riskless asset $B$ and risky asset $S$ with dynamics given by \begin{align*} dB_t &= rB_t dt, B_0 = 1, \\ dS_t &= rS_t dt + \sigma S_t dW_t^{\...
0 votes
2 answers

Converting implied volatilities into digital option prices

I have Black and Scholes (1973) implied volatilities computed and I would like to convert these IVs to digital option prices using a Black and Scholes type of formula, I can't find a formula to do ...
  • 2,073