OptionPrice (Function)

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The OptionPrice function calculates the theoretical value of an option based on the Black-Scholes option pricing model. OptionPrice provides added flexibility over the BlackScholes and Black functions by allowing you to specify the underlying asset type, the dividend yield for a dividend-paying stock, the foreign risk free interest rate, and if the calculation is for a European or American option.

Syntax

OptionPrice(MyAssetType, DaysLeft, StrikePr, AssetPr, Rate100, Yield100, ForeignRate100, Volty100, PutCall, EuroAmer01)

Returns (Double)

A numeric value representing the theoretical value of the specified option.

Parameters

Name	Type	Description
MyAssetType	Numeric	Sets the underlying asset type to: 1 = Non Dividend-Paying Stock 2 = Dividend-Paying Stock 3 = Futures 4 = Currencies
DaysLeft	Numeric	Sets the number of calendar days left for the option.
StrikePr	Numeric	Specifies the strike price of the option.
AssetPr	Numeric	Specifies the price of the underlying asset.
Rate100	Numeric	Sets the short-term risk free interest rate, usually the 90-day T-Bill, as a percentage (enter 4.9% as 4.9).
Yield100	Numeric	Sets the dividend yield rate as a percentage (enter 1% as 1).
ForeignRate100	Numeric	Sets the foreign risk free interest rate as a percentage (enter 3% as 3).
Volty100	Numeric	Sets the volatility of the underlying asset as a percentage (enter 22.5% as 22.5).
PutCall	Numeric	Specifies if it is a Put or Call option. Put or 2 = Puts; Call or 3 = Calls.
EuroAmer01	Numeric	Specifies if the option is a European or American option. 0 = European; 1 = American.

Remarks

The input parameter DaysLeft can also be a numeric function such as DaystoExpiration or Next3rdFriday.
The input parameter Volty100 can also use a reserved word value such as IVolatility *100.
The input parameter ForeignRate100 will only be considered when pricing for a currency option.

Example

Assigns to Value1 the theoretical price of a European Call option using the DaystoExpiration function to calculate the number of days left in the option until it expires in January of 2007 from today with the short-term 90-day T-Bill at 4.9%.