Prototype
Function opt_rainbow_bs_2d(S1 As Double,
S2 As Double,
X As Double,
sigma1 As Double,
sigma2 As Double,
rho As Double,
opt_mat As Double,
r As Double,
is_max As Long,
putcall As Long) As Variant
Description
This function calculates the value of either a European exchange option on two dividend paying assets.
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.
opt_mat -Double : The option maturity (in years).
r - Double : The continuously compounded interest rate.
is_max - Long : Indicates what type of option is to be valued
If is_max = 0 then an option on the minimum of two assets.
if is_max = 1 then an option on the maximum of two assets.
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