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#
# Example:
# Exotics - Binary Options
#
# Descriptions:
# This script gives examples on some binary options:
# Gap Option
# Cash-Or-Nothing Option
# Two-Asset Cash-Or-Nothing Option
# Asset-Or-Nothing Option
# Super-Share Option
#
# Reference:
# E.G. Haug [1997], Chapter 2
#
# Author:
# (C) 2002, Diethelm Wuertz, GPL
#
# ------------------------------------------------------------------------------
# Gap Option:
GapOption("c", S = 50, X1 = 50, X2 = 57, Time = c(0.25, 0.50, 1),
r = 0.09, b = 0.09, sigma = 0.20)
# Cash-Or-Nothing Option:
CashOrNothingOption("p", S = 100, X = 80, K = 10, Time = 0.75,
r = 0.06, b = 0, sigma = c(0.15, 0.25, 0.35))
# Two-Asset Cash-Or-Nothing Option:
for (TypeFlag in c("c", "p", "ud", "du"))
print(TwoAssetCashOrNothingOption(TypeFlag, S1 = 100, S2 = 100,
X1 = 110, X2 = 90, K = 10, Time = 0.5, r = 0.10, b1 = 0.05,
b2 = 0.06, sigma1 = 0.20, sigma2 = 0.25, rho = 0))
# Asset-Or-Nothing Option:
AssetOrNothingOption("p", S = 70, X = 65, Time = 0.5, r = 0.07,
b = 0.07-0.05, sigma = 0.27)
# Super-Share Option:
SuperShareOption(S = 100, XL = 90, XH = 110, Time = 0.25,
r = 0.10, b = 0, sigma = 0.20)
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