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oX_BinaryBarrier( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_BinaryBarrier(OptionType, ValueDate, ExpiryDate, Spot, Strike, Barrier, Payoff, RiskFree, Carry, Volatility, OutputFlag)

Uses Reiner and Rubinstein's (1991) method to calculate the option value and Greeks for a binary barrier option

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

OptionType

 

Type of option being valued.

 

Enumerated Constant

 

1 - Down-and-in cash-(at-hit)-or-nothing
2 - Up-and-in cash-(at-hit)-or-nothing
3 - Down-and-in asset-(at-hit)-or-nothing
4 - Up-and-in asset-(at-hit)-or-nothing
5 - Down-and-in cash-(at-expiry)-or-nothing
6 - Up-and-in cash-(at-expiry)-or-nothing
7 - Down-and-in asset-(at-expiry)-or-nothing
8 - Up-and-in asset-(at-expiry)-or-nothing
9 - Down-and-out cash-(at-expiry)-or-nothing
10 - Up-and-out cash-(at-expiry)-or-nothing
11 - Down-and-out asset-(at-expiry)-or-nothing
12 - Up-and-out asset-(at-expiry)-or-nothing
13 - Down-and-in cash-(at-expiry)-or-nothing call
14 - Up-and-in cash-(at-expiry)-or-nothing call
15 - Down-and-in asset-(at-expiry)-or-nothing call
16 - Up-and-in asset-(at-expiry)-or-nothing call
17 - Down-and-in cash-(at-expiry)-or-nothing put
18 - Up-and-in cash-(at-expiry)-or-nothing put
19 - Down-and-in asset-(at-expiry)-or-nothing put
20 - Up-and-in asset-(at-expiry)-or-nothing put
21 - Down-and-out cash-(at-expiry)-or-nothing call
22 - Up-and-out cash-(at-expiry)-or-nothing call
23 - Down-and-out asset-(at-expiry)-or-nothing call
24 - Up-and-out asset-(at-expiry)-or-nothing call
25 - Down-and-out cash-(at-expiry)-or-nothing put
26 - Up-and-out cash-(at-expiry)-or-nothing put
27 - Down-and-out asset-(at-expiry)-or-nothing put
28 - Up-and-out asset-(at-expiry)-or-nothing put

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

Strike

 

Strike price of the option.

 

Double

 

Strike > 0

Barrier

 

Asset price at which the option either "knocks in" or "knocks out".

 

Double

 

Barrier > 0

Payoff

 

Amount paid out if the option expires in the money. Not required for Asset-Or-Nothing options.

 

Double

 

RiskFree

 

Risk free interest rate, expressed as an annually compounded Actual 365 rate.

 

Double

 

Carry

 

Net cost of carry, expressed as an annually compounded Actual 365 rate.

 

Double

 

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

Volatility > 0

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value and Greeks
1 - Value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega
6 - Rho
7 - Phi
8 - Barrier

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