Questions tagged [digital]
The digital tag has no usage guidance.
3
questions
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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 ...
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vote
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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^{\...
- 11
0
votes
2
answers
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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 ...
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