A valuation formula for multi-asset, multi-period binaries in a black-scholes economy

• Autores: Max Skipper, Peter Buchen
• Localización: Anziam journal: The Australian & New Zealand industrial and applied mahtematics journal, ISSN 1446-1811, Vol. 50, Nº 4, 2009, págs. 475-485
• Idioma: inglés
• DOI: 10.1017/s1446181109000285
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• Resumen

  • We present a new valuation formula for a generic, multi-period binary option in a multi-asset Black�Scholes economy. The payoff of this so-called M-binary is the most general possible, subject to the condition that a simple analytic expression exists for the present value. Portfolios of M-binaries can be used to statically replicate many European exotics for which there exist closed-form Black�Scholes prices.