Two Asset Cash or Nothing Options

**Two Asset Cash of Nothing call (up-up) :**

**Two Asset Cash of Nothing put (down-down) :**

**Two Asset Cash of Nothing up-down :**

**Two Asset Cash of Nothing down-up :**

where

and where

S_{1} = Spot price of underling asset one.

S_{2} = Spot price of underling asset two.

X_{1} = Strike price of underling asset one.

X_{2} = Strike price of underling asset two.

r = Risk free rate

b = Cost of carry

T = Time to maturity

_{}_{1} = Volatility of underling asset one.

_{}_{2} = Volatility of underling asset two.

K = Fixed amount of cash

M = Cumulative bivariate normal distribution function.

See Also |

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