AmericanDigitalCalls

call_type

<p>Digital options, also called binary option, are options which pay a fixed payoff when the underlying stock price crosses the strike price. Thus, American Digital Options are automatically exercised as soon as they get in the money. In addition, American Digital options can be splitted in two categories: cash-or-nothing (which pays a fixed payoff in case of the underlying stock price ends up in the money) and asset-or-nothing (which pays the value of the underlying stock in case of the underlying stock price ends up in the money) options.</p>

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

Elia Degiorgi

pcalls

Pricing of Different Types of Call

AmericanDigitalCalls function

<p>Be sure that the type of the call is "A" or "C". All input values must be stricly positive.</p>

AmericanDigitalCalls: Function that returns the price of an American Digital Call

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