Prototype
Function opt_lattice_exchange(S1 As Double,
S2 As Double,
amount1 As Double,
amount2 As Double,
sigma1 As Double,
sigma2 As Double,
correl As Double,
T As Double,
q1 As Double,
q2 As Double,
M As Long,
is_american As Long) As Variant
Description
This function uses a lattice method to calculate the value of either a European or American
exchange option on two dividend paying assets.
Arguments
S1 - Double : The current value of asset 1.
S2 - Double : The current value of asset 2.
amount1 - Double : The amount of asset 1 (range 0 to 1).
amount2 - Double : The amount of asset 2 (range 0 to 1).
sigma1 -Double : The volatility of asset 1.
sigma2 -Double : The volatility of asset 2.
correl -Double : The correlation between S1 and S2.
T -Double : The option maturity (in years).
q1 -Double : The continuously compounded dividend rate for asset 1.
q2 -Double : The continuously compounded dividend rate for asset 2
M -Long : The number of time steps in the lattice.
is_american - Long : Indicates whether the option is American or European.
If is_American = 0 then the option is European,
if is_American = 1 then it is American.
Returned Values
The value of the option is returned.
Other Information
Information on enumeration types
List of available routines