Prototype
Function opt_BW_approx(S 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 the Macmillan, Barone-Adesi and Whaley approximation for the value of an American option on a stock that pays a continuous dividend.
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.
Returned Values
The order of elements in the output array is : option value, critical value.
Other Information
Information on enumeration types
List of available routines