Have all binary barrier options been replaced by digital options

[Big-Boong]

Dear Ferdinando:

 

I am developing a OTC trading system,

which is currently used in pricing and issueing derivatives such like

ELS(equity-linked securities) in South Korea.

 

My system is going to use QuantLib as a pricing engine for common derivatives.

 

I wonder whether binary barrier options have been fully replaced by digital options.

I give you the question,

for your post on OSDIR commented the matters (http://osdir.com/ml/finance.quantlib.devel/2004-01/msg00000.html)

But, you only mentioned 8 cases, knock-in's with payoffs without call options.

 

The example file 'digitaloption.cpp' in the test-suite directory also just demonstrated the cases you mentioned refactored.

 

If the conversions are possible for all 28 cases in the Haug's book (on pp. 92-95 in 1st Ed, or on pp.177-180 in 2nd Ed.)

from the binary barrier interpretation to american option interpretation,

please let me know about that.

 

Yours,

 

Charles Chongseok Hyun.

Meritz Securities Co. LTD.
Manager/OTC Derivatives Management Team
T. [phone], C. [phone]
25-1, Yoido-dong, Youngdeungpo-ku, Seoul, Korea 150-878

[hidden email]

[쇼핑하우] 받고싶은 졸업&입학 선물 1순위!

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