A contingent claim paying one at maturity if a specified price path has remained below an upper barrier, and zero otherwise. This survival payoff differs from a terminal digital put option, which tests only the terminal price. In the dividend-free Black-Scholes model, its value is the discount factor times the risk-neutral probability of avoiding the barrier, obtainable from the linear-boundary Brownian first-passage distribution.

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  1. Binary option
  2. European contingent claim
  3. Contingent claim
  4. Fundamental theorem of asset pricing
  5. Mathematical finance
  6. Mathematical optimization
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