Component |
Resolution - Exotic Options |
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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. |
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Function Parameters |
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Parameters |
Description |
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Parameter Type |
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Restrictions |
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. |
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OptionValue |
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Observed value of the option. |
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Double |
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CallPut |
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Option type. |
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Enumerated Constant |
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1 - Call |
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ValueDate |
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Valuation date. |
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Date |
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IssueDate |
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Date at which the option was written. |
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Date |
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ExpiryDate |
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Expiry date of the option. |
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Date |
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Spot |
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Current market price of the underlying asset. |
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Double |
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Spot > 0 |
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AverageSpot |
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Average price of the underlying asset. |
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Double |
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Strike |
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Strike price of the option. |
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Double |
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Strike > 0 |
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RiskFree |
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Risk free interest rate, expressed as an annually compounded Actual 365 rate. |
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Double |
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Carry |
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Net cost of carry, expressed as an annually compounded Actual 365 rate. |
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Double |
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Volatility |
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Annualized volatility of the underlying asset, expressed as a decimal. |
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Double |
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Volatility > 0 |
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OutputFlag |
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Indicates which implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank. |
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Enumerated Constant |
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1 - Spot |
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