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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

S1 = Spot price of underling asset one.

S2 = Spot price of underling asset two.

X1 = Strike price of underling asset one.

X2 = 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

oX_TwoAssetCashOrNothing( ) Function

oX_TwoAssetCashOrNothing_Imp( ) Function

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