OPT_RGW

OPT_RGW theoretical price of an American option according to the Roll-Geske-Whaley approximation

Synopsis

OPT_RGW(spot,strike,time_payout,time_exp,rate,d,volatility)

Arguments

spot: spot price

strike: strike price

time_payout: time to dividend payout

time_exp: time to expiration

rate: annualized interest rate

d: amount of the dividend to be paid expressed in currency

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