WebCab XL Community Edition

EuropeanEvaluation.CallWithDividends Method (Double, Double, Double, Double, DateTime, DateTime, Double[], Double[], String)

Calculates the present value in accordance with the Black-Scholes model of a European call option on an equity investment which pays dividends during the options life.

public double CallWithDividends(
   double StockPrice,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   DateTime EvaluationDate,
   DateTime MaturityDate,
   double[] dividend,
   double[] DividendDates,
   string CalendarName
);

Parameters

StockPrice
The present market price of the stock on which the option depends.
Strike
The strike of the call option.
RiskFreeRate
The continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the stock 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.
dividend
DividendDates
An array of months to when each of the corresponding dividend payments will be paid.
CalendarName
(Optional) The name of one of the implemented business calendars, "London" by default.

Remarks

Here we consider the dividends as a risk free component of the total return of the asset.

Excel Remarks

The full name of this function inside Excel is Option_EuropeanEvaluation_CallWithDividends.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.CallWithDividends Overload List | Evaluates the present value of the call option on an asset which pays on continuous yield.