Description
An American Digital Call can be exercised at any time before maturity. The payout is fixed amount R if S > K at maturity, where S is the value of the underlying at maturity and K is the strike of the option. A Digital Call is worthless at maturity if the value of the underlying is less than the strike.
Interfaces
Models must support IAmericanDigitalCall.
Models
The following models are available.
Description
An American Digital Put can be exercised at any time before maturity. The payout is fixed amount R if S < K at maturity, where S is the value of the underlying at maturity and K is the strike of the option. A Digital Put is worthless at maturity if the value of the underlying is greater than the strike.
Interfaces
Models must support IAmericanDigitalPut.
Models
The following models are available.
Description
An American Digital Put can be exercised at any time before maturity. The payout is a fixed amount R if S > K1 and S < K2 where S is the value of the underlying at maturity and K1 and K2 are the option strikes. A Double Digital is worthless at maturity if the value of the underlying is inside the range K1 to K2.
Interfaces
Models must support IAmericanDoubleDigital.
interface IAmericanDoubleDigital { [propput] HRESULT TimeUntilExpiry([in] double TimeUntilExpiry); [propput] HRESULT LowerStrike([in] double LowerStrike);
[propput] HRESULT UpperStrike([in] double UpperStrike); [propput] HRESULT Spot([in] double Spot); [propput] HRESULT Rate([in] double Rate); [propput] HRESULT Volatility([in] double Volatility); [propget] HRESULT PV([out, retval] double* Value); [propget] HRESULT Delta([out, retval] double* Value); [propget] HRESULT Gamma([out, retval] double* Value); [propget] HRESULT Theta([out, retval] double* Value); [propget] HRESULT Vega([out, retval] double* Value); }
Models
The following models are available.
Copyright Bowmain Ltd (c) 2004, 2005.