Calculates call prices for European options on stocks, based on the Garman-Kohlhagen model.
Category: | Financial |
is a nonmissing, positive value that specifies the exercise price.
Requirement | Specify E and S in the same units. |
is a nonmissing value that specifies the time to maturity.
is a nonmissing, positive value that specifies the spot currency price.
Requirement | Specify S and E in the same units. |
is a nonmissing, positive fraction that specifies the risk-free domestic interest rate for period t.
Requirement | Specify a value for R_{d} for the same time period as the unit of t. |
is a nonmissing, positive fraction that specifies the risk-free foreign interest rate for period t.
Requirement | Specify a value for R_{f} for the same time period as the unit of t. |
is a nonmissing, positive fraction that specifies the volatility of the currency rate.
Requirement | Specify a value for sigma for the same time period as the unit of t. |