Gets the theoretical value of an American style call option.

Namespace: RightEdge.Common
Assembly: Common (in Common.dll) Version: 2010.1.0.0 (2010.1.0.0)

Syntax

C#
public double GetAmericanCallPrice(
	double assetPrice,
	double strikePrice,
	int expirationMonth,
	int expirationYear
)
Visual Basic
Public Function GetAmericanCallPrice ( 
	assetPrice As Double,
	strikePrice As Double,
	expirationMonth As Integer,
	expirationYear As Integer
) As Double
Visual C++
public:
double GetAmericanCallPrice(
	double assetPrice, 
	double strikePrice, 
	int expirationMonth, 
	int expirationYear
)
F#
member GetAmericanCallPrice : 
        assetPrice : float * 
        strikePrice : float * 
        expirationMonth : int * 
        expirationYear : int -> float 

Parameters

assetPrice
Type: System..::..Double
current price of the underlying asset.
strikePrice
Type: System..::..Double
strike price of the option.
expirationMonth
Type: System..::..Int32
expiration month of the option.
expirationYear
Type: System..::..Int32
expiration year of the option.

Return Value

Type: Double
theoretical approximation of the call price

Remarks

American style options differ from European options in that the option can be exercised at any point before expiration. This calculation uses binomial approximation and assumes that there are no dividends.

See Also