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oBLACK_IX( ) - Black Implied Strike Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBLACK_IX(CallPut, OptionValue, ValueDate, MaturityDate, Forward, Volatility, RiskFree)

Uses the Newton-Raphson iteration procedure to calculate the strike price (X) that equates the given market price of the option with Black's model price of the option. Returns the implied strike price only.

 

 

Option Types

European options on Forward and Futures Contracts.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

OptionValue

 

Current market price of the option.

 

Double

 

Option Value > 0

ValueDate

 

Valuation date of the option.

 

Date

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Forward

 

Current forward price of the underlying asset at MaturityDate.

 

Double

 

Forward > 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%

In This Section

oBLACK_IX( ) Example - Put Option on a Forward Contract

See Also

Parameter Types

oBLACK( ) - Black Function

oBLACK_IF( ) - Black Implied Forward Function

oBLACK_IV( ) - Black Implied Volatility Function

oGBS_IX( ) - Generalized Black Scholes Implied Strike Function

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