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oBSdd_IS( ) - Black Scholes (Discrete Dividend) Implied Spot Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBSdd_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree, Dividends)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Black-Scholes (Discrete Dividend) model price of the option. Returns the implied spot only.

 

 

Option Types

European options on Stocks.

 

 

Function Parameters

 

Parameters

 

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

OptionValue

 

Current market price of the option.

 

Double

 

Option Value > 0

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Exercise

 

Exercise price of the option.

 

Double

 

Exercise > 0

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

Dividends

 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.

 

Curve

 

Each dividend date must be unique.

See Also

Parameter Types

oBSdd( ) - Black Scholes (Discrete Dividend) Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oBSdd_IV( ) - Black Scholes (Discrete Dividend) Implied Volatility Function

oBSdd_IX( ) - Black Scholes (Discrete Dividend) Implied Strike Function

In This Section

oBSdd_IS( ) Example - Equity Put Option with Discrete Dividends

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