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oBSdd( ) - Black Scholes (Discrete Dividend) Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBSdd(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, Riskfree, Dividends, OutputFlag)

Calculates the option value using the Black-Scholes closed form option pricing solution, factoring into the spot price any discrete dividend paid during the life of the option. Returns the option value and Greeks associated with the option (if requested)

 

 

Option Types

European options on Stocks with discrete dividends.

 

 

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%

Dividends

 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.

 

Curve

 

Each dividend date must be unique.

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

See Also

Parameter Types

oBS( ) - Black Scholes Function

oBSdd_IS( ) - Black Scholes (Discrete Dividend) Implied Spot Function

oBSdd_IV( ) - Black Scholes (Discrete Dividend) Implied Volatility Function

oBSdd_IX( ) - Black Scholes (Discrete Dividend) Implied Strike Function

In This Section

oBSdd( ) Model Definition

oBSdd( ) Model Greeks

oBSdd( ) Valuation Assumptions

oBSdd( ) Example 1 - Equity Call Option with Discrete Dividends

oBSdd( ) Example 2 - Equity Put Option with Discrete Dividends

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