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Ratchet options

where

c = Price of European call

S = The spot of the underlying asset

b = The cost of carry

r = The risk free rate

Ti = Time to maturity of the forward starting option

ti = Time to the forward start or strike fixing

N = The cumulative normal distribution function

= a positive constant, where the strike for the next exercise date = times the current asset price.

 

See Also

oX_Ratchet( ) Function

oX_Ratchet_Imp( ) Function

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