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oX_Chooser_Cmplx( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Chooser_Cmplx(ValueDate, ChoiceDate, ExpiryDateCall, ExpiryDatePut, Spot, StrikeCall, StrikePut, RiskFree, Carry, Volatility, OutputFlag)

Calculates the value of a complex chooser option using Rubinstein's (1991) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

Valuation date.

 

Date

 

ChoiceDate

 

Date upon which the holder must choose if the option is to be a call or put.

 

Date

 

ExpiryDateCall

 

Expiry date of the option, if Call is chosen.

 

Date

 

ExpiryDatePut

 

Expiry date of the option, if Put is chosen.

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

StrikeCall

 

Strike price of the option, if Call is chosen.

 

Double

 

StrikeCall > 0

StrikePut

 

Strike price of the option, if Put is chosen.

 

Double

 

StrikePut > 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 - Average Spot
5 - Vega
6 - Rho
7 - Phi

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