Prototype
Function opt_bin_div(dividends As Variant,
divs_t As Variant,
S As Double,
X As Double,
sigma As Double,
opt_mat As Double,
r As Double,
putcall As Long,
nt_steps As Long,
method As Long,
lattice_type As Long,
div_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.
Arguments
dividends - Variant (containing a single column of Double values) : The value of the dividends.
divs_t - Variant (containing a single column of Double values) : The time (in years) when the dividends are paid.
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.
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.
Note : For this routine only method < 3 is valid.
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.
div_type - Long : The type of dividend that is paid.
If div_type = 0 then a percentage dividend is paid,
if div_type = 1 then a cash dividend is paid.
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