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It is all in the code:: Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = opt.NPV(), Rcpp::Named("delta") = opt.delta(), Rcpp::Named("gamma") = opt.gamma(), Rcpp::Named("vega") = (excType=="european") ? opt.vega() : R_NaN, ...


Although binary option is not as liquid and common as European option, it makes perfect sense. There is only two possibility in payoff in your scenario: 100 or nothing. The cost of the option is therefore cheaper than an European option with everything else equal. Binary option can be replicated by two call options around the strike (see diagram). ...

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