Difference between revisions of "Calloption"

Revision as of 19:33, 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;
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)))

@@ Line 5: / Line 5: @@
 ; Example
-  Calloption(50,50,0.25,0.05,0.3) ==> 3.292
+  Calloption(50,50,0.25,0.05,0.3) &rarr; 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.
+; 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: 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)))