Component 
Resolution  Vanilla Options 




Function Definition 
oRGW(ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, DividendDate, DividendAmount, OutputFlag) Calculates the option value using the Roll Geske Whaley closed form option pricing solution. Returns the option value and Greeks associated with the option (if requested) 




Option Types 
American call options on Stocks that pay a single discrete dividend. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

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% 

DividendDate 

The date the dividend is paid. 

Date 



DividendAmount 

The amount of the dividend. 

Double 



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 
See Also oRGW_IS( )  Roll Geske Whaley Implied Spot Function 
In This Section 
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