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oBAW( ) - Barone-Adesi Whaley Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBAW(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag)

Calculates the option value using the Barone-Adesi Whaley quadratic approximation method. Returns the option value and the Greeks associated with the option (if requested).

 

 

Option Types

American options on Stocks, Stock Indices, Currencies and Futures.

 

 

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 market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the option.

 

Double

 

Exercise > 0

Volatility

 

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

 

Double

 

Volatility > 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%

NetCarry

 

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

 

Double or Curve

 

 

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

oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function

oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function

oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function

In This Section

oBAW( ) Model Definition

oBAW( ) Model Greeks

oBAW( ) Valuation Assumptions

oBAW( ) Example 1 - Equity Call Option

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