{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

# But enter price if implied volatility is to be

This preview shows page 1. Sign up to view the full content.

This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6) T Time to maturity (yrs) IsCall TRUE if call, FALSE if put IsFut TRUE if futures option, FALSE otherwise Divs Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable) IsAmerican TRUE if American option, FALSE if European option nSteps Number of time steps on tree Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### Function 3: BinaryOption(S,K,r,q,vol,T,IsCall,IsFut,Divs,IsCash,Result) Carries out calculations for binary options on stocks, stock indices,currencies and futures Arguments: S Asset Price K Strike price r Domestic risk-free rate q Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable) vol Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6) T Time to maturity (yrs) IsCall TRUE if call, FALSE if put IsFut TRUE if futures option, FALSE otherwise Divs Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable) IsCash TRUE if Cash or Nothing, FALSE if Asset or Nothing Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### (Delta of Cash or Nothing Call) Function 4: BarrierOption(S,K,r,q,vol,T,IsCall,IsFut,H,IsUp,IsIn,Result) Carries out calculations for barrier options on non-dividend-paying stocks, stock indices, currencies and futures Arguments: S Asset Price K Strike price r Domestic risk-free rate q Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable) vol Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6) T Time to maturity (yrs) IsCall TRUE if call, FALSE if put IsFut TRUE if futures option, FALSE otherwise H Barrier IsUp TRUE if Up option; FALSE if Down option IsIn TRUE if In option; FALSE if Out option Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### (Price of down and out call option) Function 5: AverageOption(S,K,r,q,vol,T,IsCall,IsFut,CurrAve,TimeSoFar,Result) Carries out calculations for Asian options on non-dividend-paying stocks, stock indices,currencies and futures Arguments: S Asset Price K Strike price r Domestic risk-free rate q Dividend yield for stock index options, foreign risk free rate for currency options (Enter...
View Full Document

{[ snackBarMessage ]}