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Pricing and Hedging Asian Options . Table of Contents . Table of Contents 1 . 1. Introduction to Derivatives 2 . 2. Exotic Options 3 2.1. Introduction to Asian Options 3 . 3. Option Pricing Methodologies 4 3.1. Binomial Option Pricing Model 4 3.2. Black-Scholes Model 5 …

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The PDE satisfied by an out barrier options is the same one satisfied by a vanilla option under Black and Scholes assumptions, with extra boundary conditions demanding that the option become worthless when the underlying touches the barrier.

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The current value of the option must therefore be the same as the value of the portfolio, $7.6363 – What if the option were trading for $5 instead? – Note that this result does not depend on the probability of an up vs. a down movement in the stock price. The call option is thus equivalent to a portfolio of the underlying stock plus borrowing.

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A binary option is a type of option where the payout is either fixed after the underlying stock exceeds the predetermined threshold (or strike price) or is nothing at all.

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BREAKING DOWN Asset-Or-Nothing Call Option . A cash-or-nothing put option is classified as a binary or digital option because the payout is either a set amount or nothing at all.

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The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options. The aim of this paper is to build a framework for pricing and hedging European options in the fuzzy (incomplete) market. proposed a model which was described with fuzzy boundary conditions and applied to the conventional binary option. Liu

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