Calloption

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

See Also

• CumNormal
• Putoption
• Capm
• Wacc
• Financial Library.ana
• Financial library functions
• Financial functions