EuropeanEvaluation.PutOnFutures Method (Double, Double, Double, Double, Double)

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

Parameters

FuturesPrice

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

Strike

The strike of the option contract. The strike is the price at which the underlying futures contracts can be sold at when the put option is exercised.

RiskFreeRate

The risk free interest rate expressed given 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).

TimeToMaturity

The time (in years) until the option contract matures.

Remarks

The full name of this function inside Excel is Option_EuropeanEvaluation_PutOnFutures_ByTimeSpans.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.PutOnFutures Overload List