OPT_GRENSE

Returnerer prissetjinga for ein grenseopsjon, rekna ut ved å bruka prisfastsetjingsmodellen frå Black-Scholes.

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For relevant background information, visit the Options (finance) and Black-Scholes model Wikipedia pages.


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Denne funksjonen er tilgjengeleg sidan LibreOffice4.0


Syntaks

OPT_GRENSE(Punkt; Voladitet; Rente; Framand rente; Forfall; Innløysingspris; Nedre grense; Øvre grense; Rabatt; PutCall; InnUt; Grensetype; Gresk)

Spot is the price / value of the underlying asset and should be greater than 0.0.

Volatility is the annual percentage volatility of the underlying asset expressed as a decimal (for example, enter 30% as 0.3). The value should be greater than 0.0.

Rate is the continuously compounded interest rate. This is a percentage expressed as a decimal (for example, enter 40% as 0.4).

ForeignRate is the continuously compounded foreign interest rate. This is a percentage expressed as a decimal (for example, enter 50% as 0.5).

Maturity is the time to maturity of the option, in years, and should be non-negative.

Innløysingsprisen gjeld for opsjonen og kan ikkje vera negativ.

LowerBarrier is the predetermined lower barrier price; set to zero for no lower barrier.

UpperBarrier is the predetermined upper barrier price; set to zero for no upper barrier.

Rabatt er kor mykje som skal betalast ved forfall dersom grensa er nådd.

Put og Call er ein streng som seier om ei innstilling er put («p») eller call («c»).

InOut is a string that defines whether the option is knock-in (“i”) or knock-out (“o”).

BarrierMonitoring is a string that defines whether the barrier is monitored continuously (“c”) or only at the end / maturity (“e”).

Greek (optional) is a string argument. If omitted or set to “value”, “v”, “price”, or “p”, then the function simply returns the option price. If another valid string is entered, the function returns price sensitivities (Greeks) to one of the input parameters. The valid options in this case are as follows.

Eksempel

=OPT_GRENSE(30;0,2;0,06;0;1;40;25;0;0;"c";"o";"c") returnerer verdien 0,4243.

=OPT_GRENSE(50;0,4;0.05;0;0,5;65;0;80;0;"p";"o";"c";"e") returnerer verdien 10,1585.