EuropeanEvaluation.PutOnIndex Method (Double, Double, Double, Double, Double, Double)

Evaluates the value of a European put option on an index.

Parameters

Yield

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 defined.

Strike

Index value at which the option is exercised.

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 contract matures.

Remarks

The full name of this function inside Excel is Option_EuropeanEvaluation_PutOnIndex_ByTimeSpans.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.PutOnIndex Overload List