Functions and CALL Routines |
Category: | Financial |
Syntax | |
Arguments | |
Details | |
Comparisons | |
Examples | |
See Also |
Syntax |
GARKHCLPRC(E, t, S, R_{d}, R_{f}, sigma) |
is a non-missing, positive value that specifies the exercise price.
Requirement: | Specify E and S in the same units. |
is a non-missing value that specifies the time to maturity.
is a non-missing, positive value that specifies the spot currency price.
Requirement: | Specify S and E in the same units. |
is a non-missing, 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 non-missing, 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 non-missing, 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. |
Details |
The GARKHCLPRC function calculates the call prices for European options on stocks, based on the Garman-Kohlhagen model. The function is based on the following relationship:
where
S |
specifies the spot currency price. |
N |
specifies the cumulative normal density function. |
E |
specifies the exercise price of the option. |
t |
specifies the time to expiration. |
R_{d} |
specifies the risk-free domestic interest rate for period t. |
R_{f} |
specifies the risk-free foreign interest rate for period t. |
where
specifies the volatility of the underlying asset. | |
specifies the variance of the rate of return. |
For the special case of t=0, the following equation is true:
For information about the basics of pricing, see Using Pricing Functions.
Comparisons |
The GARKHCLPRC function calculates the call prices for European options on stocks, based on the Garman-Kohlhagen model. The GARKHPTPRC function calculates the put prices for European options on stocks, based on the Garman-Kohlhagen model. These functions return a scalar value.
Examples |
See Also |
Function: |
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