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The Advanced Exotics Upgrade enhances
Intermark
Exotics Add In. The Advanced Exotics Add-in calculates values for the following exotic options: Down-and-In Single Barrier: Underlying instrument price must reach a lower barrier (knock-in boundary) before the option is exercisable. If the barrier is not reached by the expiry time, the rebate is received instead. Up-and-In Single Barrier: Underlying instrument price must reach an upper barrier (knock-in boundary) before the option is exercisable. If the barrier is not reached by the expiry time, the rebate is received instead. Down-and-Out Single Barrier: Underlying instrument price must NOT reach a lower barrier (knock-out boundary) during the option’s life. If the barrier is reached, the holder of the option is paid the rebate amount immediately, and the option simultaneously expires with no further pay outs. Up-and-out Single Barrier: Underlying instrument price must NOT reach an upper barrier (knock-out boundary) during the option’s life. If the barrier is reached, the holder of the option is paid the rebate amount immediately, and the option simultaneously expires with no further pay outs. Digital: The payoff from a Digital call (put) is nothing, if the underlying asset price finishes below (above) the strike price, or the predetermined constant cash amount, if the underlying asset price finishes above (below) the strike price. Single Touch: A touch option is paid or received immediately if the underlying asset price hits or crosses a predetermined barrier level. Multi-Touch: A multi-touch option pays a fixed payoff value anytime the underlying price reaches ANY one of a defined set of barriers. You can have any number of barriers within the model. Double Knock Out : Double Knock-Out options cease to exist if spot price breaches any of the two barriers during option life time. At the inception, spot price is assumed to be in between two barriers. Double Knock In: Double Knock-In options comes into existance if spot price breaches both of the two barriers during option life time. Binary Range: Binary Range options cease to exist, if spot price moves out of the range during option life time. If spot price stays in the range,this option pays off the amount equal to payoff parameter. Money Back (Out-of-the-Money): Money back option pays back the initially paid premium when option finishes out-of- the-money Money Back (In-the-Money): Money back option pays back the initially paid premium when option finishes in-of- the-money Pay Later (Out-of-the-Money): Pay later option is free initially, but have to be paid for when option finishes out- the-money Pay Later (In-the-Money): Pay later option is free initially, but have to be paid for when option finishes in- the-money Barrier Driven (Money Back): Barrier Money Back option is similar to an European option, but it pays back initially paid premium when a barrier is crossed. Barrier Driven (Pay Later): Barrier driven Pay later option is similar to an European option with zero cost, which have to paid for when a barrier is crossed. Pay Later (Out-of-the-Money): Pay later option is free initially, but have to be paid for when option finishes out- the-money. Pay Later (In-the-Money): Pay later option is free initially, but have to be paid for when option finishes in- the-money Premium Knock-In: Premium Knock-In option is a "Knock-In" option with zero initial value which has to be paid for if the Knock-In option becomes an European option (when the barrier is crossed). Premium Knock-Out: The "Premium Knock-Out" option is a "Knock-Out" option where the seller of the option pays back initially paid premium when the option is "Knocked Out". |
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Created by EGAR Technology Inc. © 2000-2009 All rights reserved. |