Component 
Resolution  Exotic Options 




Function Definition 
oX_Supershare_Imp(OptionValue, ValueDate, ExpiryDate, Spot, LowerBoundary, UpperBoundary, RiskFree, Carry, Volatility, OutputFlag) Given the option value, calculates an implied value for a supershare option using Hakansson's (1976) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


ValueDate 

Valuation date. 

Date 


ExpiryDate 

Expiry date of the option. 

Date 


Spot 

Current market price of the underlying asset. 

Double 


LowerBoundary 

Lower boundary for the portfolio value, below which the option is without value. 

Double 


UpperBoundary 

Upper boundary for the portfolio value, at which the option is without value. 

Double 


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 


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  Lower Boundary 
Copyright 2013 Hedgebook Ltd.