Analytic pricing engine for double barrier binary options
This engine implements C.H.Hui series ("One-Touch Double Barrier
Binary Option Values", Applied Financial Economics 6/1996), as
described in "The complete guide to option pricing formulas 2nd Ed",
E.G. Haug, McGraw-Hill, p.180
The Knock In part of KI+KO and KO+KI options pays at hit, while the
Double Knock In pays at end.
This engine thus requires European esercise for Double Knock options,
and American exercise for KIKO/KOKI.
greeks are calculated by simple numeric derivation
test
the correctness of the returned value is tested by reproducing
results available in literature.
Analytic pricing engine for double barrier binary options
This engine implements C.H.Hui series ("One-Touch Double Barrier Binary Option Values", Applied Financial Economics 6/1996), as described in "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.180
The Knock In part of KI+KO and KO+KI options pays at hit, while the Double Knock In pays at end. This engine thus requires European esercise for Double Knock options, and American exercise for KIKO/KOKI.
greeks are calculated by simple numeric derivation