| Option |
Description |
|
AMERICAN
|
Specifies that the stock option is American.
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BLACK
|
Use the Black-Scholes option pricing model.
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EQUAL
|
Use the equal jump model.
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IMPVOL
|
Compute the implied volatility from the Black-Scholes model. The call or put option price must be specified with OPTIONP=.
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BARRIER=
|
The barrier level for the asset price used in pricing an American down-and-out call option.
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DIVIDEND=
|
Continuous dividend yield of the asset.
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NUMTIME=
|
Specifies the number of time steps in the binomial tree to use for binomial option calculations.
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OPTIONP=
|
Specifies the variable containing the option prices. This is required for the IMPVOL option.
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PREDICTP=
|
Stores the predicted option prices in the variable specified.
|
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PREDICTV=
|
Stores the calculated implied volatilities in the variable specified.
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RISKFREE=
|
Specifies the risk-free interest rate. If the interest rate is 5% enter RISKFREE=5.
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SIGMA=
|
Specifies the standard deviation.
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STRIKEPRICE=
|
Specifies the stock option strike price.
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TIME=
|
Specifies the number of time periods until the stock option expires.
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UP=/DOWN=
|
Size of proportional upward and downward move.
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