OPT_GARMAN_KOHLHAGEN

OPT_GARMAN_KOHLHAGEN theoretical price of a European currency option

Synopsis

OPT_GARMAN_KOHLHAGEN(call_put_flag,spot,strike,time,domestic_rate,foreign_rate,volatility)

Arguments

call_put_flag: 'c' for a call and 'p' for a put

spot: spot price

strike: strike price

time: number of days to exercise

domestic_rate: domestic risk-free interest rate to the exercise date in percent

foreign_rate: foreign risk-free interest rate to the exercise date in percent

volatility: annualized volatility of the asset in percent for the period through to the exercise date

Description

OPT_GARMAN_KOHLHAGEN values the theoretical price of a European currency option struck at strike on an asset with spot price spot.