Description 
Consider an American call option on a stock that has a current spot price of $20, a volatility of 20%, and pays a single dividend of $2.00 on 1 September 2002. The option has a strike price of $22 and matures on 1 February 2003. The riskfree interest rate (on an actual/365 basis) is 7%. What is the value of this option as at 1 June 2002? 


Function Specification 
=oRGW("1/6/02", "1/2/03", 20, 22, 0.2, 0.07, "1/9/02", 2, 0) 


Solution 
The continuous equivalent of the actual/365 riskfree interest rate is calculated as follows: Referring to the oRGW( ) model definition, the oCumNorm( ) function, and the oCumBiNorm( ) function, if S =20, X = 22, r = 0.0677, vol = 0.2, t = 0.2521 (92/365 days), and T = 1 (365/365 days), the following results are obtained:






The Roll Geske Whaley equation becomes:



Greeks 
The following Greeks are computed using a discrete approximation of the partial derivative (see oRGW( ) Model Greeks): 
Delta 
0.242374 
Gamma 
0.666085 
Theta 
0.642848 
Vega 
4.269464 
Rho 
1.936162 
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