Prototype
Function opt_black_approx(dividends As Variant,
divs_t As Variant,
S As Double,
X As Double,
sigma As Double,
opt_mat As Double,
r As Double) As Variant
Description
This function uses Black's method to calculate the value of an American call option on a
stock that pays cash dividends.
Arguments
dividends - Variant (containing a single column of Double values) : The value of the cash 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.
Returned Values
The option value is returned.
Other Information
Information on enumeration types
List of available routines