Digital Options & Barrier-Style Binary Pricing
Digital Options & Barrier-Style Binary Pricing: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Price digital (binary) options — cash-or-nothing and asset-or-nothing — along with gap options under the Black-Scholes framework. Then price single-barrier knock-in…
The task
Price digital (binary) options — cash-or-nothing and asset-or-nothing — along with gap options under the Black-Scholes framework. Then price single-barrier knock-in and knock-out digital options using the reflection principle. Digital options are building blocks for structured products and their pricing tests…
Part of codeslord/skilltrainbench-public.