Prototype
Function opt_lookback(S0 As Double,
sigma As Double,
T As Double,
q As Double,
r As Double,
putcall As Long) As Variant
Description
This function calculates the value of a European lookback option (that has just been issued) on a dividend paying stock.
Arguments
S0 - Double : The current value of the stock.
sigma - Double : The volatility of the stock.
T - Double : The option maturity in years.
q - Double: The continuously compounded dividend rate.
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.
Returned Values
The value of the option is returned.
Other Information
Information on enumeration types
List of available routines