Equity Digital Option
financepy.products.equity.equity_digital_option
Classes
EquityDigitalOption
EquityDigitalOption(expiry_dt: financepy.utils.date.Date, barrier: float, call_put_type: financepy.utils.global_types.OptionTypes, digital_type: financepy.utils.global_types.DigitalOptionTypes)
Inherits from: EquityOption
A EquityDigitalOption is an option in which the buyer receives some
payment if the stock price has crossed a barrier ONLY at expiry and zero
otherwise. There are two types: cash-or-nothing and the asset-or-nothing
option. We do not care whether the stock price has crossed the barrier
today, we only care about the barrier at option expiry. For a continuously-
monitored barrier, use the EquityOneTouchOption class.
Methods
value
value(self, value_dt: financepy.utils.date.Date, stock_price: float | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Digital Option valuation using the Black-Scholes model assuming a
barrier at expiry. Handles both cash-or-nothing and asset-or-nothing
options.
value_mc
value_mc(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model, num_paths: int = 10000, seed: int = 4242)
Digital Option valuation using the Black-Scholes model and Monte
Carlo simulation. Product assumes a barrier only at expiry. Monte Carlo
handles both a cash-or-nothing and an asset-or-nothing option.
Generated automatically from the FinancePy source code.
Do not edit this file manually.