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Shifted lognormal digital caplets
I am searching formulas and examples about shifted lognormal digital caplets (à la Black'76) for IR options.Also the sensitivity formulas (delta, gamma, vega, theta and rho).In internet I was not able to find any material.Can you suggest a good book/paper on this topic?Cheers,Jordy
Shifted lognormal digital caplets
Well, the shifted lognormal regular caplet is developed in Brigo & Mercurio starting on p.454 (section 10.1) of the second edition. Perhaps you can draw an analogy to a digital option from a regular Black-Scholes case?