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oX_Extendible( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Extendible(Holder, CallPut, ValueDate, FirstExpiryDate, SecondExpiryDate, ExtraPremium, Spot, FirstStrike, SecondStrike, RiskFree, Carry, Volatility, OutputFlag)

Calculates the value of a holder- or writer-extendible option using Longstaff's (1990) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Holder

 

Is the option extendible by the holder or the writer of the option?

 

Enumerated Constant

 

1 - Holder
2 - Writer

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date.

 

Date

 

FirstExpiryDate

 

Date at which the option either expires or is extended.

 

Date

 

SecondExpiryDate

 

Date at which the option will expire if extended.

 

Date

 

ExtraPremium

 

Amount paid by the holder to extend the option. Not used for Writer-Extendible options.

 

Double

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

FirstStrike

 

The strike price of the option in the period prior to the first expiry date.

 

Double

 

FirstStrike > 0

SecondStrike

 

The strike price of the option after it has been extended.

 

Double

 

SecondStrike > 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 & Greeks
1 - Value
2 - Delta
3 - Gamma
4 - Vega
5 - Rho
6 - Phi

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