(b)

in paragraph 6, the following subparagraphs are added: ‘By way of derogation from the first subparagraph, institutions shall replace a vanilla digital option the strike of which equals K with the relevant collar combination of two sold and bought vanilla call or put options that meet the following requirements: The risk position of the two options of the collar combination referred to in the second subparagraph shall be calculated separately in accordance with Article 279.’ ; the two options of the collar combination have: the same expiry date and the same spot or forward price of the underlying instrument as the vanilla digital option; strikes equal to 0,95∙K and 1,05∙K respectively; the collar combination replicates exactly the vanilla digital option payoff outside the range between the two strikes referred to in point (a).

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.