oX_Gap( ) Function

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
2 - Put

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
1 - Value
2 - Delta
3 - Gamma
4 - Vega
5 - Rho
6 - Phi