CALL
The CALL command is used for price valuation models for Call Options.
In general, the format is:
CALL vars / options
The available options are:
| OPTION |
DESCRIPTION |
| american |
Specifies that the stock option is American. |
| black |
Use the Black-Scholes option pricing model. |
| equal |
Use the equal jump model. |
| impvol |
Compute the implied volatility from the Black-Scholes model. The call or put option price must be specified with OPTIONP= |
| barrier= |
The barrier level for the asset price used in pricing an American down-and-out call option. |
| beg= |
Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect. |
| end= |
Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect. |
| dividend= |
Continuous dividend yield of the asset. |
| numtime= |
Specifies the number of time steps in the binomial tree to use for binomial option calculations. |
| optionp= |
Specifies the variable containing the option prices This is required for the IMPVOL option. |
| predictp= |
Stores the predicted option prices in the variable specified. |
| predictv= |
Stores the calculated implied volatilities in the variable specified. |
| riskfree |
Specifies the risk-free interest rate If the interest rate is 5% enter RISKFREE=5. |
| sigma= |
Specifies the standard deviation |
| strikeprice= |
Specifies the stock option strike price |
| time= |
Specifies the number of time periods until the stock option expires. |
| up= |
Size of proportional upward move. |
| down= |
Size of proportional downward move. |
|
