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

Max Skipper, Peter Buchen

• 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.