Prototype
Function opt_rainbow_2d_lattice(S1 As Double,
S2 As Double,
X As Double,
sigma1 As Double,
sigma2 As Double,
rho As Double,
q1 As Double,
q2 As Double,
opt_mat As Double,
r As Double,
is_american As Long,
opt_type As Long,
putcall As Long,
n_steps As Long) As Variant
Description
This function uses a lattice method to calculate the value of either a European or American
rainbow option on two dividend paying assets. Options on the maximum or minimum of two assets and spread options can be valued.
Arguments
S1 - Double : The current value of asset 1.
S2 - Double : The current value of asset 2.
X - Double : The strike price.
sigma1 -Double : The volatility of asset 1.
sigma2 -Double : The volatility of asset 2.
rho -Double : The correlation between S1 and S2.
q1 -Double : The continuously compounded dividend rate for asset 1.
q2 -Double : The continuously compounded dividend rate for asset 2.
opt_mat - Double : The option maturity (in years).
r - Double : The continuously compounded interest rate.
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.
opt_type - Long : Indicates the option type
If opt_type = 0 then an option on the maximum of two assets.
if opt_type = 1 then an option on the minimum of two assets.
if opt_type = 2 then a spread option.
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.
n_steps - Long : The number of time steps in the lattice.
Returned Values
The value of the option is returned.
Other Information
Information on enumeration types
List of available routines