Double One-Touch Option

5 stars based on 55 reviews

FINCAD offers the most transparent solutions in the industry, providing extensive documentation with every product. This is complemented by an extensive library of white papers, articles and case studies. A Binary Barrier Option is a type of digital option for which an option's payout depends on whether or not the asset touched a barrier level at some time during the life of the option.

The value of the payoff is not affected by the size of the difference between the underlying and the strike price, and can be in the form of a cash payment or delivery of the underlying.

The options described here are path dependent, which means that the payout profile depends on the asset value during the life of the option and the value of the underlying asset when the barrier is hit or on the expiry date of the option.

For a call, the payout is received if the underlying asset price is greater than the strike price, and for a put, the payout is received if the strike is greater than the underlying asset price. There are two classes of binary barrier options. The first are options where a payout of cash or the asset is made if the barrier is hit or not hit during the life of the option.

The payout is made either when the barrier is hit, or at option expiry. For cash payouts, this distinction will only affect the period of time over which the payment is discounted. For asset payouts, however, the distinction is more subtle.

If the payout is made when the barrier is touched, then the present value one touch barrier binary option valu the payout one touch barrier binary option valu equal to the discounted barrier value — since this is the asset value when the barrier is touched. On the other hand, if the payout is made at option expiry, then the present value of the payout is equal to whatever the asset value happens to be one touch barrier binary option valu the expiry date, discounted back to the valuation date.

The second class includes options one touch barrier binary option valu a payout of cash or the asset is made if the barrier is hit or not hit during the life of the option and if the option is in-the-money at expiry. These are types of knock-in and knock-out binary barrier options. There are other types of digital options available within the FINCAD library, including various flavors of double barrier binary options.

Introduction A Binary Barrier Option is a type of digital option for which an option's payout depends on whether or not the asset touched a barrier level at some time during the life of the option. Technical Details There are two classes of binary barrier options. Calculate the fair value, risk statistics and probability of hitting the barrier for a one touch barrier binary option valu barrier option with a payoff equal to the asset one touch barrier binary option valu if the barrier is touched, or nothing if the barrier is never touched.

Calculate the fair value, risk statistics and probability of hitting the barrier for a binary barrier option with a payoff of a fixed amount of cash if the barrier is touched, or nothing if the barrier is never touched. Calculate the fair value, risk statistics and probability of hitting the barrier for a knock-in binary barrier call or put option with a payoff equal to the value of the asset if the barrier is touched and the option is in the money.

Calculate the fair value, risk one touch barrier binary option valu and probability of hitting the barrier for a knock-in binary barrier call or put option with a payoff of a fixed amount of cash if the barrier is touched one touch barrier binary option valu the option is in-the-money. Calculate the fair value, risk statistics and probability of hitting the barrier for a binary barrier option with a payoff equal to the value of the asset if the barrier is not touched, or nothing if the barrier is touched.

Calculate the fair value, risk statistics and probability of hitting the barrier for a binary barrier option with a payoff of a fixed amount of cash if the barrier is not touched, or nothing if the barrier is touched.

Calculate the fair value, risk statistics and probability of hitting the barrier for a knock-out binary barrier call or put option with a payoff equal to the value of the asset if the barrier is not touched and the option is in the money at expiry, or nothing if the barrier is touched. Calculate the fair value, risk statistics and probability of hitting the barrier for a knock-out binary barrier call or put option with a payoff of a fixed amount of cash if the barrier is not touched and the option is in the money at expiry, or nothing if the barrier is touched.

Calculate the fair value, delta, and probability of hitting the barrier for a path dependent digital option where the payoff is on the expiration date. Calculate the fair value, delta, and probability of hitting the barrier for a path dependent digital option where the payoff is made at the time the barrier is touched. The next generation of powerful valuation and risk solutions is here. Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.

How to start a currency trading business

  • Estrategias forex opciones binarias 2015

    Best online trading site for new investors

  • Binare optionen islam

    Binary options strategy trend analysis

Swiss franc brazilian real binary options

  • Binare optionen welcher broker

    Stocks marketsworld binary options demonstration

  • Robot opcje binarne za darmowy bonus bez depozytu 2015

    Check the binary options trading system striker9 free download

  • Justin harris binary options facebook

    Open stdin as binary trading

Education with banc de binary review 2013

28 comments Option collars for income

Optionsxo binary options broker 100 free binary options

FINCAD offers the most transparent solutions in the industry, providing extensive documentation with every product.

This is complemented by an extensive library of white papers, articles and case studies. The payoff of a simple European or American style call or put option depends only on the value of the asset, not on the path taken to get there. A double barrier option has a lower barrier and an upper barrier. These barriers control the option. Once either of these barriers is breached, the status of the option is immediately determined: Double barrier options of many types exist and it is best to try to understand these options by considering several key features.

The first feature is the underlying option which can be a:. Other possibilities exist, for example an Asian option , but we will not consider these in this document nor are the functions relevant for any other cases. With all of these various barrier functions, the specification of rebates is possible. These rebates cash or asset amounts can be specified if one or the other barrier is hit or if neither barrier is hit.

The final feature is the type of monitoring that is done at the barriers. We also note the following convention: In the case of a standard DKO option for which the underlying price is less than the lower barrier value, or greater than the upper barrier value, all statistics are thus equal to zero, except the probability of breaching the barrier, which is equal to one.

The first feature is the underlying option which can be a: European style, call or put option American style, call or put option Binary option , cash or nothing, asset or nothing depending on whether barrier is hit or not hit Other possibilities exist, for example an Asian option , but we will not consider these in this document nor are the functions relevant for any other cases.

The second feature is the combination of barriers. The options can be: In this case, both the lower and upper barrier are knock-out barriers. Initially the holder of the option owns a call or a put option. If at any time, either barrier is breached, the option is lost knocked-out. In some cases, at knock-out, the holder may receive a rebate.

A double knock-in DKI , or one touch knock-in, Barrier Option In this case, if either barrier is breached, the holder of the barrier option is knocked-in to, i. In cases where the option is never knocked-in, the holder may receive a rebate. An upper barrier knock-out UKO double Barrier Option In this case, if the upper barrier is breached prior to the lower barrier, the option holder is knocked out. If the lower is breached prior to the upper or neither barrier is breached, the holder owns the option.

An upper barrier knock-out UKO2 double Barrier Option In this case, if the upper barrier is breached prior to the lower barrier, the option holder gets nothing. If the lower barrier is breached prior to the upper, the holder receives an option.

If neither barrier is breached, the holder gets nothing. A lower barrier knock-out LKO double Barrier Option In this case, if the lower barrier is breached prior to the upper barrier, the option holder is knocked out. If the upper barrier is breached prior to the lower or neither barrier is breached, the holder owns an option. A lower barrier knock-out LKO2 double Barrier Option In this case, if the lower barrier is breached prior to the upper barrier, the option holder gets nothing.

If the upper barrier is breached prior to the lower, the holder receives an option. An upper barrier knock-in UKI double Barrier Option In this case, if the upper barrier is breached prior to the lower barrier, the option holder receives a call or put option. If neither barrier is breached, the holder owns an option. However, if both the upper and lower barriers are breached during the life of the option, the holder is knocked out.

A double touch knock-in Option DTKI In this case, if both the upper and lower barriers are breached during the life of the option, the holder is knocked-in to a call or put option.

Each barrier is continuously monitored for the life of the option. Each barrier is partially monitored for specific windows during the life of the option.

During these windows, the barriers are monitored continuously. During these windows, the barriers are monitored at discrete dates. Each barrier is discretely monitored at specific dates during the life of the option. The next generation of powerful valuation and risk solutions is here. Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.