Influence of the Price of the Underlying Instrument on the Risk of the Asset-or-Nothing Option

Asset-or-nothing options are the singular payoffs options in the class of exotic options. Exotic options are a specifically attractive financial instrument due to different income structure from that provided by standard options. Asset-or-nothing option provide their holders the right to own the underlying asset if the options expire in-the-money. The article presents the properties of the asset-or-nothing option: construction of instrument, types of options, the pay-off function, the pricing model, the influence of the price of the underlying instrument on the pricing and value measures of risk (coefficients delta, gamma, vega, theta, rho). The objective of the work is to present the analysis of the impact of the underlying instrument’s price on the risk performance of the asset-or-nothing options. The empirical illustration included in the article is concerned with the pricing simulations of the currency asset-or-nothing options on EUR/USD.