OPT_BARRIER

Devuelve el precio de una opción de barrera, calculado utilizando el modelo de precios de opciones de Black-Scholes.

tip

For relevant background information, visit the Options (finance) and Black-Scholes model Wikipedia pages.


tip

Esta función está disponible desde la versión 4.0 de LibreOffice.


Sintaxis

OPT_BARRIER(Anuncio; Volatilidad; Tasa; Tasa extranjera; Vencimiento; Ejercicio; Barrera inferior; Barrera superior; Reembolso; Llamada externa; Entrada; Supervisión de barrera [; Griego])

Spot is the price / value of the underlying asset and should be greater than 0.0.

Volatility is the annual percentage volatility of the underlying asset expressed as a decimal (for example, enter 30% as 0.3). The value should be greater than 0.0.

Rate is the continuously compounded interest rate. This is a percentage expressed as a decimal (for example, enter 40% as 0.4).

ForeignRate is the continuously compounded foreign interest rate. This is a percentage expressed as a decimal (for example, enter 50% as 0.5).

Maturity is the time to maturity of the option, in years, and should be non-negative.

Ejercicio es el precio de ejercicio de la opción y no debe ser negativo.

LowerBarrier is the predetermined lower barrier price; set to zero for no lower barrier.

UpperBarrier is the predetermined upper barrier price; set to zero for no upper barrier.

Reembolso es la cantidad de dinero que se pagará al vencimiento si se supera la barrera.

Venta o Compra es una cadena que define si la opción es venta("p") o compra ("c").

InOut is a string that defines whether the option is knock-in (“i”) or knock-out (“o”).

BarrierMonitoring is a string that defines whether the barrier is monitored continuously (“c”) or only at the end / maturity (“e”).

Greek (optional) is a string argument. If omitted or set to “value”, “v”, “price”, or “p”, then the function simply returns the option price. If another valid string is entered, the function returns price sensitivities (Greeks) to one of the input parameters. The valid options in this case are as follows.

Ejemplo

=OPT_BARRIER(30;0.2;0.06;0;1;40;25;0;0;"c";"o";"c") devuelve el valor 0.4243.

=OPT_BARRIER(50;0.4;0.05;0;0.5;65;0;80;0;"p";"o";"c";"e") devuelve el valor 10.1585.