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

Calculates the present value of a European put option on an equity investment which pays dividends during the options life.

Parameters

StockPrice

The present stock 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 price 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.

Dividends

An array of dividend payments where the i-th term corresponds the amount paid by the i-th dividend as the underlying asset during the life of the option.

DividendDates

An array where the i-th term corresponds to the number of years from the present time until the payment of the i-th dividend paid by the underlying asset on which the option depends.

CalendarName

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

Remarks

This method extends the Black - Scholes model by treating the dividends as a risk free component of the total return.

Excel Remarks

See Also

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