Component |
Resolution - Exotic Options |
||||||
|
|
||||||
Function Definition |
oX_Gap(CallPut, ValueDate, ExpiryDate, Spot, Strike, StrikeTwo, RiskFree, Carry, Volatility, OutputFlag) Calculates the option value and Greeks for a gap option using Reiner and Rubinstein's (1991) method |
||||||
|
|
||||||
Function Parameters |
|||||||
|
|||||||
Parameters |
Description |
|
Parameter Type |
|
Restrictions |
||
. |
|||||||
CallPut |
|
Option type. |
|
Enumerated Constant |
|
1 - Call |
|
ValueDate |
|
Valuation date. |
|
Date |
|
||
ExpiryDate |
|
Expiry date of the option. |
|
Date |
|
||
Spot |
|
Current market price of the underlying asset. |
|
Double |
|
Spot > 0 |
|
Strike |
|
Rename this parameter. Strike price of the option. |
|
Double |
|
Strike > 0 |
|
StrikeTwo |
|
Second strike price of the option. |
|
Double |
|
StrikeTwo > 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 result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. |
|
Enumerated Constant |
|
0 - Value and Greeks |
Copyright 2013 Hedgebook Ltd.