OPT_TOUCH
Renvoie le prix d'une option contact / sans contact, calculé à l'aide du modèle de tarification de l'option Black-Scholes.
Pour des informations de fond, visitez le site Options (finance) et le modèle Black-Scholes sur les pages Wikipedia.
Des informations complémentation à propos des options contact/sans contact peuvent être trouvées sur plusieurs sites financiers.
OPT_TOUCH(Spot; Volatility; Rate; ForeignRate; Maturity; LowerBarrier; UpperBarrier; ForeignDomestic; InOut; BarrierMonitoring; Greek)
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.
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.
ForeignDomestic is a string that defines whether the option pays domestic (“d”) or foreign (“f”) currency.
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.
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“delta” or “d”.
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“gamma” or “g”.
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“theta” or “t”.
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“vega” or “e”.
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“volga” or “o”.
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“vanna” or “a”.
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“rho” or “r”.
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“rhof” or “f”.
=OPT_TOUCH(50;0.25;0.05;0;1;0;55;"d";"i";"c") returns the value 0.6876.
=OPT_TOUCH(80;0.2;0.05;0;0.5;60;0;"f";"o";"c";"r") returns the value 15.5516.