Black-Scholes Asset-or-Nothing Put
quantlib-pricing
Black-Scholes Asset-or-Nothing Put
Price an asset-or-nothing put option that delivers one unit of the underlying asset if the spot price is below the strike at expiration, otherwise pays nothing.
Payoff: S_T if S_T < K, else 0
Use Cases:
- Price asset-or-nothing put options
- Structure reverse participation products
- Decompose vanilla puts (vanilla put = K × digital put - asset-or-nothing put)
- Create custom payoff profiles
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
POST
Black-Scholes Asset-or-Nothing Put
Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Current price of the underlying asset
Example:
100
Strike price of the digital option
Example:
105
Risk-free interest rate (annualized, decimal format)
Example:
0.05
Annualized volatility (decimal format)
Example:
0.25
Time to expiration in years
Example:
1
Continuous dividend yield (annualized, decimal format)
Example:
0.02