OPT_BARRIER
Renvoie le prix d'une option barrière, calculé à l'aide du modèle de tarification de l'option Black-Scholes.
OPT_BARRIER(Spot; Volatility; Rate; Foreign Rate; Maturity; Strike; LowerBarrier; UpperBarrier; Rebate; PutCall; 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.
Barrière est le prix barrière de l'option et ne doit pas être négatif.
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.
rabais est le montant devant être payé à l'échéance si la barrière est atteinte.
Mis_ou_appelé est une chaîne qui définit si l'option est mise ("p") ou appelée ("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”).
=OPT_BARRIER(30;0.2;0.06;0;1;40;25;0;0;"c";"o";"c") returns the value 0.4243.
=OPT_BARRIER(50;0.4;0.05;0;0.5;65;0;80;0;"p";"o";"c";"e") returns the value 10.1585.