- Joined
- 5/9/13
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- 11
I'm trying to price an EURUSD call on EUR, binary option as,
\(\)
\(C_t = N^{EUR}D_T^{EUR}\mathbb{E}^{EUR}\left[1_{X_T > K}\right]\)
where \(X_T\) is EURUSD underlying.
I'm getting,
\(C_t = N^{EUR}D_T^{EUR}\Phi(d_1)\)
and it seems that this premium should be in EUR. However, Bloomberg returns a EUR price equal to,
\(C_t = X_0N^{EUR}D_T^{EUR}\Phi(d_1)\)
Bloomberg quotes this as the EUR price, but it seems this should be in USD. There is a field where I've chosen the notional \(N\) to be in EUR.
Any help is much appreciated.
\(\)
\(C_t = N^{EUR}D_T^{EUR}\mathbb{E}^{EUR}\left[1_{X_T > K}\right]\)
where \(X_T\) is EURUSD underlying.
I'm getting,
\(C_t = N^{EUR}D_T^{EUR}\Phi(d_1)\)
and it seems that this premium should be in EUR. However, Bloomberg returns a EUR price equal to,
\(C_t = X_0N^{EUR}D_T^{EUR}\Phi(d_1)\)
Bloomberg quotes this as the EUR price, but it seems this should be in USD. There is a field where I've chosen the notional \(N\) to be in EUR.
Any help is much appreciated.
