The average yield of the contingents of the index given in decimal format (i.e. 1 percent = 0.01).
IndexValue
The value of the index on which the option is based.
Strike
The value of the index which is take as the strike of the option.
RiskFreeRate
The continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the index given in decimal format (i.e. 1 percent = 0.01).
TimeToMaturity
The time (in years) until the option matures.
Remarks
Remark: We approximate the dividends paid by the components of the index by a continuous
yield which is a reasonable assumption in many cases. However, if the capitalization of the index is
concentrated around a relatively few number of assets then this approach may lead to mis-leading results.
In this instance the method callWithDividends should be used with the underlying
asset being taken as the index and the dividends considered being the dividends in the components of the
constituents of the index.
Excel Remarks
The full name of this function inside Excel is Option_EuropeanEvaluation_CallOnIndex_ByTimeSpans.