Infinite volatility option price

In the Black-Scholes formula for a vanilla call option the probability of being in the money almost equals the delta of the option when:. In an arithmetic average asian option, is the strike price and only one fixing is left out of a total of fixings.

If is the average value of the underlying spot of all fixings until that point here then the value of the asian option is equal to:. The supposedly absurd negative risk neutral probabilities can occur in a Cox-Ross-Rubenstein CRR binomial tree when:.

Why call option price increases with higher volatility - Personal Finance & Money Stack Exchange

The sum of a digital call option and a digital put option with the same strike price is equal to:. Any comments and queries can be sent through our web-based form.

More from Job Interviews Job Interviews 14 Job Interviews 13 Job Interviews 12 Job Interviews 11 Job Interviews More from CFE Learning Centre Valuation of Squared Power Options At the money ATM Volatility and ATM Strike in the FX options market Estimating the Variance-Covariance VCV Matrix from Market Data Cholesky transformation for generating Correlated Random Numbers Single Asset Best-of Call Option: A product for Hedge Fund managers. On A Tangent Investments and Market Analysis QuantLatte Interview Questions Option Pricing Applications Team Latte Nov 14, In the Black-Scholes formula for a vanilla call option the probability of being in the money almost equals the delta of the option when: If is the average value of the underlying spot of all fixings until that point here then the value of the asian option is equal to: One the discount factor; the probability of being in the money for a vanilla call none of the above An asset is said to be in a "degenerate" state when: On A Tangent Investments and Market Analysis QuantLatte.