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oGK( ) - Garman Kohlhagen Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oGK(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree_D, RiskFree_F, OutputFlag)

Calculates the option value using Garman and Kohlhagen's modified version of the Black-Scholes closed form option pricing solution. Returns the option value and Greeks associated with the option (if requested).

 

 

Option Types

European options on Currencies.

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Spot

Current exchange rate.

 

Double

 

Spot > 0

Exercise

 

Exercise rate of the option.

 

Double

 

Exercise > 0

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

Volatility > 0%

RiskFree_D

 

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

 

Double or Curve

 

RiskFree_D >= 0%

RiskFree_F

 

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

 

Double or Curve

 

RiskFree_F >= 0%

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value only
2 - Delta only
3 - Gamma only
4 - Theta only
5 - Vega only
6 - Rho only
7 - Phi only

See Also

Parameter Types

oGBS( ) - Generalized Black Scholes Function

oGK_IS( ) - Garman Kohlhagen Implied Spot Function

oGK_IV( ) - Garman Kohlhagen Implied Volatility Function

oGK_IX( ) - Garman Kohlhagen Implied Strike Function

In This Section

oGK( ) Model Definition

oGK( ) Model Greeks

oGK( ) Valuation Assumptions

oGK( ) Example 1 - Equity Call Option

oGK( ) Example 2 - Equity Put Option

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