|
|
11.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
12.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
13.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
Located in
../plugins/derivatives/options.c:1048
|
|
|
14.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
15.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
Located in
../plugins/derivatives/options.c:1291
|
|
|
16.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
17.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
18.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
19.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
|
|
20.
|
|
|
@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 |
|
|
represents a line break.
Start a new line in the equivalent position in the translation.
|
|
|
represents a space character.
Enter a space in the equivalent position in the translation.
|
|
|
|
|
(no translation yet)
|
|
|
