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oBS_IX( ) - Black Scholes Implied Strike Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBS_IX(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Volatility, RiskFree)

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

 

Option Types

European options on Stocks.

 

 

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

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 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

oBS_IX( ) Example - Equity Call Option

See Also

Parameter Types

oBS( ) - Black Scholes Function

oBS_IS( ) - Black Scholes Implied Spot Function

oBS_IV( ) - Black Scholes Implied Volatility Function

oGBS_IX( ) - Generalized Black Scholes Implied Strike Function

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