BinaryOption | R Documentation |

This function evaluations an Binary option on a common stock using a closed-form solution. The option value as well as the common first derivatives ("Greeks") are returned.

```
## Default S3 method:
BinaryOption(binType, type, excType, underlying,
strike, dividendYield,
riskFreeRate, maturity, volatility, cashPayoff)
```

`binType` |
A string with one of the values |

`type` |
A string with one of the values |

`excType` |
A string with one of the values |

`underlying` |
Current price of the underlying stock |

`strike` |
Strike price of the option |

`dividendYield` |
Continuous dividend yield (as a fraction) of the stock |

`riskFreeRate` |
Risk-free rate |

`maturity` |
Time to maturity (in fractional years) |

`volatility` |
Volatility of the underlying stock |

`cashPayoff` |
Payout amount |

A closed-form solution is used to value the Binary Option.

Please see any decent Finance textbook for background reading, and
the `QuantLib`

documentation for details on the `QuantLib`

implementation.

An object of class `BinaryOption`

(which inherits from class
`Option`

) is returned. It contains a list with the
following components:

`value` |
Value of option |

`delta` |
Sensitivity of the option value for a change in the underlying |

`gamma` |
Sensitivity of the option delta for a change in the underlying |

`vega` |
Sensitivity of the option value for a change in the underlying's volatility |

`theta` |
Sensitivity of the option value for a change in t, the remaining time to maturity |

`rho` |
Sensitivity of the option value for a change in the risk-free interest rate |

`dividendRho` |
Sensitivity of the option value for a change in the dividend yield |

The interface might change in future release as `QuantLib`

stabilises its own API.

Dirk Eddelbuettel edd@debian.org for the **R** interface;
the QuantLib Group for `QuantLib`

https://www.quantlib.org/ for details on `QuantLib`

.

`AmericanOption`

,`EuropeanOption`

```
BinaryOption(binType="asset", type="call", excType="european",
underlying=100, strike=100, dividendYield=0.02,
riskFreeRate=0.03, maturity=0.5, volatility=0.4, cashPayoff=10)
```

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