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Chapter 15. STANDARD DIGITAL OPTIONS AND CORRELATION DIGITAL OPTIONS

In: Exotic Options A Guide to Second Generation Options

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  • Peter G. Zhang

    (Vice-President, Capital Markets Research, Chase Manhattan Bank, USA)

Abstract

The 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

Suggested Citation

  • Peter G. Zhang, 1997. "Chapter 15. STANDARD DIGITAL OPTIONS AND CORRELATION DIGITAL OPTIONS," World Scientific Book Chapters, in: Exotic Options A Guide to Second Generation Options, chapter 16, pages 391-419, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814532921_0016
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