Prototype
Function opt_bs_barrier_downout(barrier_level As Double,
S0 As Double,
X As Double,
sigma As Double,
opt_mat As Double,
r As Double,
q As Double,
putcall As Long) As Variant
Description
This function uses an analytic method to calculate the value of a down and out barrier option.
Arguments
Barrier_level - Double : The level of the barrier.
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.
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, rho and vega.
Other Information
At present only call options are catered for.
Information on enumeration types
List of available routines