OPT_BARRIER

Returns the pricing for a barrier option, calculated using the Black-Scholes option pricing model.

tip

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


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Sintaxia

OPT_BARRIER(Spot; Volatility; Rate; Foreign Rate; Maturity; Strike; LowerBarrier; UpperBarrier; Rebate; PutCall; InOut; BarrierMonitoring [; Greek])

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.

Ekitaldi-prezioa balioa aukeraren ekitaldi-prezioa da, eta positiboa edo zero izan beharko litzateke.

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.

Hobaria langara iritsiz gero mugaegunean ordaindu beharreko diru kopurua da.

Put or Call is a string that defines whether the option is a put (“p”) or a 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.

Adibidea

=OPT_BARRIER(30;0.2;0.06;0;1;40;25;0;0;"c";"o";"c") funtzioak 0.4243 balioa itzultzen du.

=OPT_BARRIER(50;0.4;0.05;0;0.5;65;0;80;0;"p";"o";"c";"e") funtzioak 10.1585 balioa itzultzen du.

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