Chapter 15. STANDARD DIGITAL OPTIONS AND CORRELATION DIGITAL OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 16 in Exotic Options:A Guide to Second Generation Options, 1997, pp 391-419 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONSTANDARD DIGITAL OPTIONSAMERICAN DIGITAL OPTIONSNondeferrable American DigitalsOne-Touch DigitalsDOUBLE-DIGITAL OPTIONSCORRELATION DIGITAL OPTIONSPRICING CORRELATION DIGITAL OPTIONSSPECIAL CASES OF CORRELATION DIGITAL OPTIONSOrdinary Gap OptionsOrdinary Asset-Or-Nothing OptionsOrdinary Cash-Or-Nothing Options“Another Asset-Or-Nothing Options”The Trivial Case of IndependenceSENSITIVITIESDeltasGammasChiSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISESQuestionsExercisesAPPENDIX

Date: 1997
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