ComplexChooser

(ModelStatistic, Asset, StrikeCall, StrikePut, TimeChoose, TimeCall, TimePut, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat)

Argument

Description

ModelStatistic

Numeric value indicating the type of function required for the return value:

•Theoretical = 1

•Delta = 2

•Gamma = 3

•Theta = 4

•ImpliedVol = 5

•Vega = 6

•Rho = 7

•Psi = 8

•Lambda = 9

•CallStrikeSensativity = 14

•CallImpliedStrike = 15

•PutStrikeSensativity = 16

•PutImpliedStrike = 17

Asset

The price of the underlying asset. Must be > 0.

StrikeCall

The price at which the asset can be purchased if the call option is chosen.

Must be > 0.

StrikePut

The price at which the asset can be purchased if the put option is chosen.

Must be > 0.

TimeChoose

The time, expressed in either Days or Years (depending on the TimeFormat value), until the buyer has to choose whether the option is a call or put.

Must be: 0 < TimeChoose < TimeCall

0 < TimeChoose < TimePut.

TimeCall

Time, expressed in either Days or Years (depending on the TimeFormat value), until the expiration of the call option. Must be > 0.

TimePut

Time, expressed in either Days or Years (depending on the TimeFormat value), until the expiration of the put option. Must be > 0.

Volatility

Annualized volatility of the underlying security. Must be > 0.

InterestRate

Risk-free interest rate expressed as a percentage. This rate is interpreted as a continuously compounded. Must be > 0.

YieldRate

Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded.

MarketPrice

Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0.

TimeFormat

Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either:

•Days = 0 or "D" (case insensitive)

•Years = 1 or "Y" (case insensitive)

Calculate all of functions for a complex chooser option whose asset price 30 days from the chooser date, 90 days from the call expiration, and 120 days the put expiration is $38. The exercise price of the call is $40, the exercise price of the put is $35, the risk-free interest rate is 8% per annum, the yield rate is 6.25% per annum, and the annual volatility is 20%. So,

Input

Output

Variable

Value

Function

Name

Value

Asset

38

1

Theoretical:

1.098943

StrikeCall

40

2

Delta:

0.133656

StrikePut

35

3

Gamma:

0.185636

TimeChoose

30

4

Theta:

-0.014691

TimeCall

90

5

Implied Vol.:

0.190327

TimePut

120

6

Vega:

0.103123

Volatility

20%

7

Rho:

0.005067

InterestRate

8%

8

Psi:

-0.008108

YieldRate

6.25%

9

Lambda:

4.621639

MarketPrice

1

14

Call Strike Sens:

-0.243872

TimeFormat

Days

15

Call Implied Strike:

40.436572

16

Put Strike Sens:

0.164997

17

Put Implied Strike:

34.311110

Chooser

Compound

Compound Binomial

Executive

Forward Start

Time Switch

Writer Extendible