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.