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RM_ONETOUCH_PRICE_EURO - Price of a One-Touch Digital Option According to Rubinstein

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Function module ONETOUCH_PRICE_EURO is used for calculating the price of a one-touch digital option. A one-touch digital pays a fixed amount, the rebate, immediately, when the agreed rate limit (barrier) has been reached. This can be at any time during the term. A one-touch can only be European, since premature exercising is not possible (the option pays automatically the first time it is in moneyness).

This function module is also used for calculating the rebate part of an out barrier option.

Parameters

I_VOLA
OPT_BARRIER
OPT_DAYS
OPT_DOMESTIC_RATE
OPT_FOREIGN_RATE
OPT_PRICE
OPT_REBATE
OPT_SPOT
UP_DOWN

Exceptions

NEG_BARRIER
NEG_DAYS
NO_UD
ZERO_NEG_SPOT
ZERO_NEG_VOLA

Function Group

RMOP

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