WOLFRAM|DEMONSTRATIONS PROJECT

Binary Options: Pricing and Greeks

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option type
call
put
quantity
price
delta
gamma
theta
rho
vega
stock volatility (%)
30.
risk free rate (%)
5.
time to maturity (years)
1.
max spot price
200
Row[Transpose[{{binary,vanilla},{
}}], ]
This Demonstration shows the price and "Greeks" for binary call and put options together with the corresponding vanilla European option as a function of underlying spot price (the option strike price
K
is set to 100). The controls let you explore the effect of the model's input parameters.