oX_Asian_Levy_Imp( ) Function

Component

Resolution - Exotic Options

Function Definition

oX_Asian_Levy_Imp(OptionValue, CallPut, ValueDate, IssueDate, ExpiryDate, Spot, AverageSpot, Strike, RiskFree, Carry, Volatility, OutputFlag)

Given an option value, calculates an implied value for an arithmetic average-rate option using Levy's (1992) approximation.

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

OptionValue

Observed value of the option.

Double

CallPut

Option type.

Enumerated Constant

1 - Call
2 - Put

ValueDate

Valuation date.

Date

IssueDate

Date at which the option was written.

Date

ExpiryDate

Expiry date of the option.

Date

Spot

Current market price of the underlying asset.

Double

Spot > 0

AverageSpot

Average price of the underlying asset.

Double

Strike

Strike price of the option.

Double

Strike > 0

RiskFree

Risk free interest rate, expressed as an annually compounded Actual 365 rate.

Double

Carry

Net cost of carry, expressed as an annually compounded Actual 365 rate.

Double

Volatility

Annualized volatility of the underlying asset, expressed as a decimal.

Double

Volatility > 0

OutputFlag

Indicates which implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank.

Enumerated Constant

1 - Spot
2 - Average Spot
3 - Strike
4 - Riskfree
5 - Volatility