The Greek formulas for the Black Scholes discrete dividend option pricing model are as follows: |
S* = spot price of the underlying asset adjusted for the present value of any future dividends. X = exercise price (strike). r = risk-free interest rate, expressed with continuous compounding. vol = volatility of the relative price change of the underlying asset. T = time to maturity measured in years (actual/365 basis). N(.) = cumulative normal distribution of (.). iPC = 1 for call / -1 for put. |
Copyright 2013 Hedgebook Ltd.