oGBS_IX( ) - Generalized Black Scholes Implied Strike Function

Component

Resolution - Vanilla Options

Function Definition

oGBS_IX(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Volatility RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the Generalized Black-Scholes model price of the option. Returns the implied strike only.

Option Types

European options on Stocks, Currencies, Futures, and Commodities.

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

CallPut

Option type.

Enumerated Constant

1 - Call
2 - Put

OptionValue

Current market price of the option.

Double

Option Value > 0

ValueDate

Valuation date of the option.

Date

ValDate < MatDate

MaturityDate

Maturity date of the option.

Date

MatDate > ValDate

Spot

Current market price of the underlying asset.

Double

Spot > 0

Volatility

Annualized volatility of the underlying asset, expressed as a decimal.

Double

Volatility > 0%

RiskFree

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

Double or Curve

RiskFree >= 0%

NetCarry

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

Double or Curve

In This Section

oGBS_IX( ) Example - Equity Call Option

See Also

Parameter Types

oGBS( ) - Generalized Black Scholes Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

oBS_IX( ) - Black Scholes Implied Strike Function