EuropeanEvaluation.CallOnFutures Method (Double, Double, Double, Double, DateTime, DateTime, String)

Evaluates the present value of a European call option on a (stock) futures contract.

Parameters

FuturesPrice

The present price the underlying futures price on which the option is defined.

Strike

The strike of the options contract. The strike is the price at which the underlying futures contract can be purchased at when the call option is exercised.

RiskFreeRate

Continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).

Volatility

The volatility of the underlying futures contract given in decimal format (i.e. 1 percent = 0.01).

EvaluationDate

The evaluation date of the option.

MaturityDate

The date when the option contract matures.

CalendarName

(Optional) The name of one of the implemented business calendars, "London" by default.

Remarks

The full name of this function inside Excel is Option_EuropeanEvaluation_CallOnFutures.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.CallOnFutures Overload List