Difference between revisions of "Calloption"

Revision as of 19:32, 25 June 2007

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

Calloption(50,50,0.25,0.05,0.3) ==> 3.292

Parameters: s is the price of the security now;
s is the exercise price;
t is the time in years to exercise;
r is the risk-free interest rate;
and theta is 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)))

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-[[Category:Doc Status D]] <!-- For Lumina use, do not change -->
+[[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.
+; Example
+ Calloption(50,50,0.25,0.05,0.3) ==> 3.292
+; Expects: '''s''', '''x''', '''t''', '''r''', and '''theta''' all as numeric.
+; 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> and '''theta''' is the volatility of the security.
+; 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)))
+; [[Syntax]]: Calloption(s,x,t,r,theta : Numeric)
+; Library: [[Financial functions]]
+; More Examples and Tips:  ''None yet.''