Difference between revisions of "Calloption"

Latest revision as of 20:38, 24 May 2016

Calculates the value of a call option using the Black-Scholes formula.

Calloption(s, x, t, r, theta : Numeric)

Parameters:

Function definition:

USING d1 := (ln(s/x) + t*(r + (0.5*theta^2)))/(theta*t^0.5)

DO s*CumNormal(d1) - (x*exp(-r*t)*CumNormal(d1 - (theta*t^0.5)))

Use File → Add Library... to add this library

Calloption(50, 50, 0.25, 0.05, 0.3) → 3.292

@@ Line 1: / Line 1: @@
-[[Category:Doc Status D]] <!-- For Lumina use, do not change -->
+[[Category: Financial library functions]]
+[[Category:Doc Status C]] <!-- For Lumina use, do not change -->
+===Function Calloption(s, x, t, r, theta)===
+Calculates the value of a call option using the Black-Scholes formula.
+[[Syntax]]:
+:[[Calloption]](s, x, t, r, theta : Numeric)
+Parameters:
+;«s»: the price of the security now
+;«s»: the exercise price
+;«'t»: the time in years to exercise
+;«r»: the risk-free interest rate
+;«theta»: the volatility of the security
+Function definition:
+:<code>USING d1 := (ln(s/x) + t*(r + (0.5*theta^2)))/(theta*t^0.5)</code>
+::<code>DO s*CumNormal(d1) - (x*exp(-r*t)*CumNormal(d1 - (theta*t^0.5)))</code>
+==Library==
+[[Financial library functions]] ([[media:Financial Library.ana|Financial Library.ana]])
+:Use [[File menu|File]] &rarr; '''Add Library...''' to add this library
+==Example==
+:<code>Calloption(50, 50, 0.25, 0.05, 0.3) &rarr; 3.292</code>
+==See Also==
+* [[CumNormal]]
+* [[Putoption]]
+* [[Capm]]
+* [[Wacc]]
+* [[media:Financial Library.ana|Financial Library.ana]]
+* [[Financial library functions]]
+* [[Financial functions]]