Difference between revisions of "Calloption"
| Line 17: | Line 17: | ||
Function definition: | Function definition: | ||
:<code>USING d1 := (ln(s/x) + t*(r + (0.5*theta^2)))/(theta*t^0.5)</code> | :<code>USING d1 := (ln(s/x) + t*(r + (0.5*theta^2)))/(theta*t^0.5)</code> | ||
| − | ::<code>DO s* | + | ::<code>DO s*CumNormal(d1) - (x*exp(-r*t)*CumNormal(d1 - (theta*t^0.5)))</code> |
==Library== | ==Library== | ||
| Line 26: | Line 26: | ||
==See Also== | ==See Also== | ||
| − | * [[ | + | * [[CumNormal]] |
* [[Putoption]] | * [[Putoption]] | ||
* [[Financial library functions]] | * [[Financial library functions]] | ||
* [[Financial functions]] | * [[Financial functions]] | ||
Revision as of 01:20, 2 February 2016
Function Calloption(s, x, t, r, theta)
Calculates the value of a call option using the Black-Scholes formula.
- 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
Example
Calloption(50, 50, 0.25, 0.05, 0.3) → 3.292
See Also
Comments
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