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11.
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@FUNCTION=OPT_JUMP_DIFF 
@SYNTAX=OPT_JUMP_DIFF(call_put_flag,spot,strike,time,rate,volatility,lambda,gamma)
@DESCRIPTION=OPT_JUMP_DIFF models the theoretical price of an option according to the Jump Diffusion process (Merton).
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price of the option.
@time is the time to maturity of the option expressed in years.
@rate is the annualized rate of interest.
@volatility is the annualized volatility of the underlying asset.
@lambda is expected number of 'jumps' per year.
@gamma is proportion of volatility explained by the 'jumps.'
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_JUMP_DIFF
@SYNTAX=OPT_JUMP_DIFF(indicador_call_put,spot,strike,tiempu,tasa,volatilidá,lambda,gamma)
@DESCRIPTION=OPT_JUMP_DIFF modeliza'l preciu teóricu d'una opción d'alcuerdo col procesu de Difusión de Saltos (Merton).
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@spot ye'l preciu spot del activu
@strike ye'l preciu strike (fijado) de la opción
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu a la fecha del exerciciu, en tantu por cientu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu fasta la fecha del exerciciu.
@lambda ye'l númberu de «saltos» esperaos por añu
@gamma ye la proporción de volatilidá esplicada polos «saltos»'
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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12.
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@FUNCTION=OPT_MILTERSEN_SCHWARTZ
@SYNTAX=OPT_MILTERSEN_SCHWARTZ(call_put_flag,p_t,f_t,x,t1,t2,v_s,v_e,v_f,rho_se,rho_sf,rho_ef,kappa_e,kappa_f)
@DESCRIPTION=OPT_MILTERSEN_SCHWARTZ models the theoretical price of options on commodities futures according to Miltersen & Schwartz.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@p_t is a zero coupon bond with expiry at option maturity.
@f_t is the futures price.
@x is the strike price.
@t1 is the time to maturity of the option.
@t2 is the time to maturity of the underlying commodity futures contract.
@v_s is the volatility of the spot commodity price.
@v_e is the volatility of the future convenience yield.
@v_f is the volatility of the forward rate of interest.
@rho_se is correlation between the spot commodity price and the convenience yield.
@rho_sf is correlation between the spot commodity price and the forward interest rate.
@rho_ef is correlation between the forward interest rate and the convenience yield.
@kappa_e is the speed of mean reversion of the convenience yield.
@kappa_f is the speed of mean reversion of the forward interest rate.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_MILTERSEN_SCHWARTZ
@SYNTAX=OPT_MILTERSEN_SCHWARTZ(indicador_call_put,p_t,f_t,x,t1,t2,v_s,v_e,v_f,ro_se,ro_sf,ro_ef,kappa_e,kappa_f)
@DESCRIPTION=OPT_MILTERSEN_SCHWARTZ modela'l preciu teóricu d'opciones en futuros en mercancíes d'alcuerdu con Miltersen & Schwartz.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@p_t nun bonu de cupón cero con espiración al vencimientu de la opción
@f_t ye'l preciu del futuru.
@x ye'l preciu fixáu (strike).
@t1 ye'l tiempu pal vencimientu de la opción.
@t2 ye'l tiempu pal vencimientu del contratu de los futuros de mercancíes subyacentes.
@v_s ye la volatilidá del preciu spot de la mercancía.
@v_e ye la volatilidá del marxe del futuru conveníu.
@v_f ye la volatilidá de la tasa d'interés adelantada.
@ro_se ye la correlación ente'l preciu spot de la mercancía y el marxe de conveniencia.
@rho_sf ye la correlación ente'l preciu spot de la mercancía y la tasa d'interés adelantada.
@rho_ef ye la correlación ente la tasa d'interés adelantada y el marxe de conveniencia.
@kappa_e ye la velocidá de la reversión media del marxe de conveniencia.
@kappa_f ye la velocidá de la reversión media de la tasa d'interés adelantada.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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13.
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@FUNCTION=OPT_RGW
@SYNTAX=OPT_RGW(call_put_flag,spot,strike,t1,t2,rate,d,volatility)
@DESCRIPTION=OPT_RGW models the theoretical price of an american option according to the Roll-Geske-Whaley approximation where:
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@t1 is the time to the dividend payout.
@t2 is the time to option expiration.
@rate is the annualized rate of interest.
@d is the amount of the dividend to be paid.
@volatility is the annualized rate of volatility of the underlying asset.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_RGW
@SYNTAX=OPT_RGW(indicador_call_put,spot,strike,t1,t2,tasa,d,volatilidá)
@DESCRIPTION=OPT_RGW modela'l preciu teóricu d'una opción americana d'alcuerdu cola aprosimación Roll-Geske-Whaley onde:
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@spot ye'l preciu spot del activu
@strike ye'l preciu strike (fijado) de la opción
@t1 ye'l tiempu pal pagu de dividendu
@t2 ye'l tiempu pal vencimientu de la opción
@tasa ye la tasa d'interés anualizada
@d ye la cantidá del dividendu a ser pagada
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu fasta la fecha del exerciciu.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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Located in
../plugins/derivatives/options.c:1048
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14.
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@FUNCTION=OPT_BAW_AMER
@SYNTAX=OPT_BAW_AMER(call_put_flag,spot,strike,time,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_BAW_AMER models the theoretical price of an option according to the Barone Adesie & Whaley approximation.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@time is the number of days to maturity of the option.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@volatility is the annualized volatility in price of the underlying asset.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_BAW_AMER
@SYNTAX=OPT_BAW_AMER(indicador_call_put,spot,strike,tiempu,tasa,devaluación,volatilidá)
@DESCRIPTION=OPT_BAW_AMER modela'l preciu teóricu d'una opción d'alcuerdu cola aprosimación de Barone Adesie & Whaley.
@indicador_call_put ye «c» o «p» pa indicar si la opción ye un «call» o «put».
@spot ye'l preciu «spot» del activu subyacente.
@strike ye'l preciu al que se fixa la opción.
@tiempu ye'l númberu de díes fasta'l vencimientu de la opción.
@tasa ye la tasa d'interés llibre de riesgu anualizada.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu.
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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15.
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@FUNCTION=OPT_BJER_STENS
@SYNTAX=OPT_BJER_STENS(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BJER_STENS models the theoretical price of american options according to the Bjerksund & Stensland approximation technique.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@time is the number of days to maturity of the option.
@rate is the annualized risk-free rate of interest.
@volatility is the annualized volatility in price of the underlying asset.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_BJER_STENS
@SYNTAX=OPT_BJER_STENS(indicador_call_put,spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BJER_STENS modela'l preciu teóricu d'opciones americanes d'alcuerdu cola técnica d'aprosimación de Bjerksund & Stensland.
@indicador_call_put ye «c» o «p» pa indicar si la opción ye «call» o «put».
@spot ye'l preciu «spot» del activu subyacente.
@strike ye'l preciu al que se fixa la opción.
@tiempu ye'l númberu de díes pal vencimientu de la opción.
@tasa ye la tasa d'interés llibre de riesgu anualizada.
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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Located in
../plugins/derivatives/options.c:1291
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16.
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@FUNCTION=OPT_EXEC
@SYNTAX=OPT_EXEC(call_put_flag,spot,strike,time,rate,volatility,cost_of_carry,lambda)
@DESCRIPTION=OPT_EXEC models the theoretical price of executive stock options @call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
One would expect this to always be a call option.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@time is the number of days to maturity of the option.
@rate is the annualized risk-free rate of interest.
@volatility is the annualized volatility in price of the underlying asset.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@lambda is the jump rate for executives. The model assumes executives forfeit their options if they leave the company.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_EXEC
@SYNTAX=OPT_EXEC(indicador_call_put,spot,strike,tiempu,tasa,volatilidá,devaluación,lambda)
@DESCRIPTION=OPT_EXEC modela'l preciu teóricu d'opciones de stock pa executivos (executive stock options).
@indicador_call_put ye «c» o «p» pa indicar si la opción ye «call» o «put» . Un podría esperar qu'esto seya siempre una opción call.
@spot ye'l preciu «spot» del activu subyacente.
@strike ye'l preciu al que se fixa la opción.
@tiempu ye'l númberu de díes pal vencimientu de la opción.
@tasa ye la tasa d'interés llibre de riesgu anualizada.
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu.
@lambda ye la tasa de saltu pa executives. El modelu asume que los executivos pierden los derechos a sus opciones si dexen la compañía.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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17.
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@FUNCTION=OPT_FORWARD_START
@SYNTAX=OPT_FORWARD_START(call_put_flag,spot,alpha,time1,time,rate,volatility,cost_of_carry)
@DESCRIPTION=OPT_FORWARD_START models the theoretical price of forward start options
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@alpha is a fraction that set the strike price the future date @time1.
@time1 is the number of days until the option starts.
@time is the number of days to maturity of the option.
@rate is the annualized risk-free rate of interest.
@volatility is the annualized volatility in price of the underlying asset.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_FORWARD_START
@SYNTAX=OPT_FORWARD_START(indicador_call_put,spot,alfa,tiempu1,tiempu,tasa,volatilidá,devaluación)
@DESCRIPTION=OPT_FORWARD_START modela'l preciu teóricu d'opciones «forward start»
@indicador_call_put ye «c» o «p» pa indicar si la opción ye un «call» o «put»
@spot ye'l preciu «spot» del activu subyacente
@alfa ye una fraición qu'establez el preciu «strike» na fecha futura @tiempu1
@tiempu1 ye'l númberu de díes fasta que la opción entama.
@tiempu ye'l númberu de díes fasta'l vencimientu de la opción.
@tasa ye la tasa d'interés llibre de riesgu anualizada.
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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18.
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@FUNCTION=OPT_TIME_SWITCH
@SYNTAX=OPT_TIME_SWITCH(call_put_flag,spot,strike,a,time,m,dt,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_TIME_SWITCH models the theoretical price of time switch options. (Pechtl 1995)
The holder receives @a * @dt for each period dt that the asset price was greater than the strike price (for a call) or below it (for a put).
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@a is the amount received for each time period as discussed above.
@time is the maturity of the option in years.
@m is the number of time units the option has already met the condition.
@dt is the agreed upon discrete time period (often a day) expressed as a fraction of a year.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_TIME_SWITCH
@SYNTAX=OPT_TIME_SWITCH(indicador_call_put,spot,strike,a,tiempu,m,dt,tasa,devaluación,volatilidá)
@DESCRIPTION=OPT_TIME_SWITCH modela'l preciu teóricu d'opciones de cambiu de tiempu. (Pechtl 1995)
El poseedor recibe @a * @dt pa cada períodu dt que'l preciu de l'aición seya mayor que'el preciu fixáu (pa una call) o per debaxo d'él (pa una put)
@indicador_call_put ye «c» o «p» pa indicar si la opción ye un «call» o «put»
@spot ye'l preciu «spot» del activu subyacente
@strike ye'l preciu al que la opción fixose
@a ye la cantidá recibida pa cada períodu de tiempu como explicóse enrriba
@tiempu ye'l vencimientu de la opción n'años
@m ye'l númberu d'unidaes de tiempu en que la opción atopó la condición
@dt ye'l acuerdo ente períodos de tiempu discretos (a menudo un día) espresaos como una fraición d'un añu
@tasa ye'l tasa d'interés llibre de riesgu anualizada
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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19.
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@FUNCTION=OPT_SIMPLE_CHOOSER
@SYNTAX=OPT_SIMPLE_CHOOSER(call_put_flag,spot,strike,time1,time2,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_SIMPLE_CHOOSER models the theoretical price of simple chooser options.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@time1 is the time in years until the holder chooses a put or a call option.
@time2 is the time in years until the chosen option expires.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_SIMPLE_CHOOSER
@SYNTAX=OPT_SIMPLE_CHOOSER(indicador_call_put,spot,strike,tiempu1,tiempu2,tasa,devaluación,volatilidá)
@DESCRIPTION=OPT_SIMPLE_CHOOSER modela'l preciu teóricu d'opciones d'eleición simple.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put».
@spot ye'l preciu spot del activu.
@strike ye'l preciu strike (fixáu) de la opción.
@tiempu1 ye'l tiempu n'años fasta que'l titular escueye una opción call o put.
@tiempu2 ye'l tiempu n'años fasta que la opción escoyía vence
@tasa ye la tasa d'interés llibre de riesgu a la fecha del exerciciu, en tantu por cientu.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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20.
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@FUNCTION=OPT_COMPLEX_CHOOSER
@SYNTAX=OPT_COMPLEX_CHOOSER(call_put_flag,spot,strike_call,strike_put,time,time_call,time_put,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_COMPLEX_CHOOSER models the theoretical price of complex chooser options.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike_call is the strike price at which the option is struck, applicable if exercised as a call option.
@strike_put is the strike price at which the option is struck, applicable if exercised as a put option.
@time is the time in years until the holder chooses a put or a call option.
@time_call is the time in years to maturity of the call option if chosen.
@time_put is the time in years to maturity of the put option if chosen.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
@volatility is the annualized volatility in price of the underlying asset.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_COMPLEX_CHOOSER
@SYNTAX=OPT_COMPLEX_CHOOSER(indicador_call_put,spot,strike_call,strike_put,tiempu,tiempu_call,tiempu_put,tasa,devaluación,volatilidá)
@DESCRIPTION=OPT_COMPLEX_CHOOSER modela'l preciu teóricu d'opciones d'eleición complexes.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@spot ye'l preciu spot del activu.
@strike_call ye'l preciu al que se ha fixáu la opción.
@strike_put ye'l preciu al que se ha fixáu la opción.
@tiempu ye tiempu n'años fasta que'l titular escueye una opción put o call.
@tiempu_call ye'l tiempu de vencimientu n'años de la opción call si ye escoyía.
@tiempu_put ye'l tiempu de vencimientu n'años de la opción put si ye escoyía.
@tasa ye la tasa d'interés llibre de riesgu anualizada.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu.
@volatilidá ye la volatilidá anualizada en preciu del activu subyacente
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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