Пример #1
0
        public static double EuroCallPricing(SharpExcelObject option, double r)
        {
            var call  = option.To <EuroCallOption>();
            var stock = call.Underlying;
            var s     = stock.Price;
            var q     = stock.Dividend;
            var σ     = stock.Sigma;
            var k     = call.Strike;
            var T     = call.Maturity;

            var d1 = (Log(s / k) + T * (r - q + σ * σ / 2)) / (σ * Sqrt(T));
            var d2 = (Log(s / k) + T * (r - q - σ * σ / 2)) / (σ * Sqrt(T));
            var n1 = NormDist(d1);
            var n2 = NormDist(d2);

            return(Exp(-q * T) * s * n1 - Exp(-r * T) * k * n2);
        }
Пример #2
0
 public EuroCallOption(string name, double strike, double maturity, SharpExcelObject underlying) :
     base(name, strike, maturity, underlying)
 {
 }
Пример #3
0
 public StockOption(string name, double strike, double maturity, SharpExcelObject underlying) : base(name)
 {
     this.Strike     = strike;
     this.Maturity   = maturity;
     this.Underlying = underlying.To <Stock>();
 }