Digital Options (Hit-At-End Binary) (OTC) 
Use
The price is calculated for European digital hit-at-end binary options. A digital option is a wager on an event that is characterized by the strike and the specification Up (=Call) or Down (=Put). When the option is exercised, a fixed amount known as the rebate is paid. A digital up 1.67 on the US dollar is a bet that the dollar will be at a higher rate than 1.67 DEM per dollar when the option is exercised. The exchange rate before or after the exercise date is irrelevant.
Integration and Data Used as the Basis for the Calculation
The price calculator for digital hit-at-end binary options is called up with the following parameters:
Term: |
Residual term of the option in days |
Domrate: |
Interest rate_1 in percentage |
Forrate: |
Interest rate_2 in percentage |
Rebate: |
Rebate |
Rebate sign: |
+/- sign of the rebate |
Spot: |
Spot amount |
Strike: |
Strike amount |
Type of UL: |
Category of the underlying |
Vola: |
Volatility |
Put/Call: |
Put or call option |
Scope of Functions and Pricing
If the expiration date of the option has been reached, then the intrinsic value of the option (rebate amount) is displayed.
If the value for the option term is positive, the option price is calculated as follows:
