Previous Topic

Next Topic

oGBS( ) - Generalized Black Scholes Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oGBS(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag)

Calculates the option value using the generalized version of the Black-Scholes closed form option pricing formula. Returns the option value and Greeks associated with the option (if requested)

 

 

Option Types

European options on Stocks, Currencies, Futures, and Commodities

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Spot

Current market price of the underlying asset.

 

Double

 

Spot > 0

Exercise

 

Exercise price of the option.

 

Double

 

Exercise > 0

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

Volatility > 0%

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Double or Curve

 

RiskFree >= 0%

NetCarry

 

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

 

Double or Curve

 

 

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 only
2 - Delta only
3 - Gamma only
4 - Theta only
5 - Vega only
6 - Rho only
7 - Phi only

In This Section

oGBS( ) Model Definition

oGBS( ) Model Greeks

oGBS( ) Net Cost of Carry Definitions

oGBS( ) Valuation Assumptions

oGBS( ) Example 1 - Equity Call Option

oGBS( ) Example 2 - Equity Put Option with Continuous Dividends

oGBS( ) Example 3 - Currency Call Option

oGBS( ) Example 4 - Commodity Put Option

See Also

Parameter Types

oBS( ) - Black Scholes Function

oBLACK( ) - Black Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

oGBS_IX( ) - Generalized Black Scholes Implied Strike Function

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.