equity digital option

financepy.products.equity.equity_digital_option

Class

EquityDigitalOption

EquityDigitalOption(
    expiry_dt: Date,
    barrier: float,
    call_put_type: OptionTypes,
    digital_type: DigitalOptionTypes,
) -> None

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: Date,
    stock_price: float | numpy.ndarray,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: 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: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: 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.