Prototype
Function opt_bin2(S As Long,
X As Double,
sigma As Double,
opt_mat As Double,
r As Long,
q As Double,
putcall As Long,
nt_steps As Long,
method As Long,
lattice_type As Long) As Variant
Description
This function calculates the value and hedge statistics of either an American or European option on a
dividend paying stock. A lattice method is used with various extensions, which enhance both speed and accuracy, such as BBS, BBSR etc.
Arguments
S - Double : The current value of the stock.
X - Double : The strike price.
sigma - Double : The volatility of the stock.
opt_mat - Double : The option maturity in years.
r - Double : The continuously compounded interest rate.
q - Double: The continuously compounded dividend rate.
putcall - Long : Indicates whether the option is a put or call.
If putcall = 0 then the option is a call , if putcall = 1 then it is a put.
nt_steps - Long : The number of time steps to be used in the lattice.
method - Long : If method = 0 then the option is European,
If method = 1 then it is American.
when method is greater than 1 this indicates a type of
calculation method to be used. See below for more information
concerning these values.
lattice_type - Long : The type of lattice that is to be used in the calculations.
If lattice_type = 0 then a standard lattice is used,
if lattice_type 1 then a probability half lattice is used.
Returned Values
The first element in the output array is the option value. This is followed the greeks in the following order :
gamma, delta, theta.
Other Information
Information on enumeration types
List of available routines