 Influence of the Price of the Underlying Instrument on the Risk of the Asset-or-Nothing OptionEwa Dziawgo ()
A chapter in Country Experiences in Economic Development, Management and Entrepreneurship, 2017, pp 673-687 from Springer Abstract: Abstract Asset-or-nothing options are the singular payoffs options in the class of exotic options. Exotic options are a specifically attractive financial instrument due to different income structure from that provided by standard options. Asset-or-nothing option provide their holders the right to own the underlying asset if the options expire in-the-money. The article presents the properties of the asset-or-nothing option: construction of instrument, types of options, the pay-off function, the pricing model, the influence of the price of the underlying instrument on the pricing and value measures of risk (coefficients delta, gamma, vega, theta, rho). The objective of the work is to present the analysis of the impact of the underlying instrument’s price on the risk performance of the asset-or-nothing options. The empirical illustration included in the article is concerned with the pricing simulations of the currency asset-or-nothing options on EUR/USD. Keywords: Derivatives; Risk management; Measures of risk (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-46319-3_42 Ordering information: This item can be ordered from DOI: 10.1007/978-3-319-46319-3_42 Access Statistics for this chapter More chapters in Eurasian Studies in Business and Economics from Springer |
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