NAG Library Manual, Mark 30
Interfaces:  FL   CL   CPP   AD 

NAG CL Interface Introduction
Example description

nag_specfun_opt_binary_con_price (s30cac) Example Program Results
Binary (Digital): Cash-or-Nothing

European Put :

  Spot       = 100.0000
  Payout     =  10.0000
  Volatility =   0.3500
  Rate       =   0.0600
  Dividend   =   0.0000

   Strike    Expiry    Option Price
  80.0000    0.7500       2.2155