Description 
Consider an American call option on a stock that has a current spot price of $100, a volatility of 25%, and pays a dividend yield of 3% (on an actual/365 basis). The option has a strike price of $100 and matures on 1 November 2003. The riskfree interest rate (on an actual/365 basis) is 6%. What is the value of this option as at 1 November 2002? 




Function Specification 
=oBAW(1, "1/11/02", "1/11/03", 100, 100, 0.25, 0.06, 0.03, 0) 




Solution 
The continuous equivalent of the actual/365 riskfree interest rate and the dividend yield is calculated as follows:
As S < S*, the Barone Adesi Whaley equation becomes: 


where 




Greeks 
The following Greeks are computed using a discrete approximation of the partial derivative (see oBAW() Model Greeks): 

Delta 
0.579637 

Gamma 
0.015964 

Theta 
5.800683 

Vega 
37.758058 

Rho 
46.433199 

Phi 
56.589317 
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