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oRGW( ) - Roll Geske Whaley Function

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
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

oRGW_IS( ) - Roll Geske Whaley Implied Spot Function

oRGW_IV( ) - Roll Geske Whaley Implied Volatility Function

oRGW_IX( ) - Roll Geske Whaley Implied Strike Function

In This Section

oRGW( ) Model Definition

oRGW( ) Model Greeks

oRGW( ) Valuation Assumptions

oRGW( ) Example 1 - Equity Call Option

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