Compound Option Price

Posted by Chun-Yuan Chiu

Input:
Initial underlying asset price
The 1st strike price
The 2nd strike price
The 1st expiration Years
The 2nd expiration Years
Risk free interest rate (annulized)
Volatility (annulized)
Output:
Option value

This calculator gives the price of a call-on-call compound option.

Tagged: Compound Option

 •  Jan 6, 2014  • 

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