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oRGW( ) Valuation Assumptions

Assumption

Description

 

End of Day Valuations

All valuations are assumed to take place at the end of the day.

Valuation on Maturity Date

Due to assuming end-of-day valuations, if Value Date = Maturity Date, then the option has effectively expired. Thus the option is equal to zero.

Dividend paid on Maturity Date

If the discrete dividend is paid on the maturity date, then that dividend will be excluded in the calculations.

 

 

 

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