Difference between revisions of "Calloption"

Latest revision as of 20:38, 24 May 2016

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:

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)))

Library

Financial library functions (Financial Library.ana)

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

Example

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

@@ Line 1: / Line 1: @@
+[[Category: Financial library functions]]
 [[Category:Doc Status C]] <!-- For Lumina use, do not change -->
-===Function Calloption(s,x,t,r,theta)===
+===Function Calloption(s, x, t, r, theta)===
 Calculates the value of a call option using the Black-Scholes formula.
-; Example
+[[Syntax]]:
- Calloption(50,50,0.25,0.05,0.3) &rarr; 3.292
+:[[Calloption]](s, x, t, r, theta : Numeric)
-; Expects: '''s''', '''x''', '''t''', '''r''', and '''theta''' all as 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
-; Parameters: '''s''' is the price of the security now;<br>'''s''' is the exercise price;<br>'''t''' is the time in years to exercise;<br>'''r''' is the risk-free interest rate;<br>'''theta''' is the volatility of the security.
+Function definition:
-; Function definition: USING d1 := (ln(s/x) + t * (r+ (0.5 * theta^2))) / (theta * t^0.5)<br>DO s * Cumnormal(d1) - (x * exp(-r * t) * Cumnormal(d1 - (theta * t^0.5)))
+:<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>
-; [[Syntax]]: Calloption(s,x,t,r,theta : Numeric)
+==Library==
+[[Financial library functions]] ([[media:Financial Library.ana|Financial Library.ana]])
+:Use [[File menu|File]] &rarr; '''Add Library...''' to add this library
-; Library: [[Financial functions]]
+==Example==
+:<code>Calloption(50, 50, 0.25, 0.05, 0.3) &rarr; 3.292</code>
-; More Examples and Tips:  ''None yet.''
+==See Also==
+* [[CumNormal]]
+* [[Putoption]]
+* [[Capm]]
+* [[Wacc]]
+* [[media:Financial Library.ana|Financial Library.ana]]
+* [[Financial library functions]]
+* [[Financial functions]]