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oBS( ) - Black Scholes Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBS(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, OutputFlag)

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

 

 

Option Types

European options on Stocks.

 

 

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%

Output Flag

 

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. Entering a 0 will output the value, delta, gamma, theta, vega, and rho.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value only
2 - Delta only
3 - Gamma only
4 - Theta only
5 - Vega only
6 - Rho only

In This Section

oBS( ) Model Definition

oBS( ) Model Greeks

oBS( ) Valuation Assumptions

oBS( ) Example 1 - Equity Call Option

oBS( ) Example 2 - Equity Put Option

See Also

Parameter Types

oGBS( ) - Generalized Black Scholes Function

oBS_IS( ) - Black Scholes Implied Spot Function

oBS_IV( ) - Black Scholes Implied Volatility Function

oBS_IX( ) - Black Scholes Implied Strike Function

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