# Trading real options analysis course - business cases and software applic - Mun P.D.

ISBN 047-43001-3

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10. Single Barrier Option: Up-and-In Call. This European single upper-barrier call option is exercisable only at expiration. This call option becomes activated only when the asset value breaches an upper barrier.

Function: ROBarrierCallUpIn(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

11. Single Barrier Option: Up-and-Out Call. This European single upper-barrier call option is exercisable only at expiration. This call option becomes activated only when the asset value does not breach an upper barrier.

Function: ROBarrierCallUpOut(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

12. Single Barrier Option: Down-and-In Put. This European single lower-barrier put option is exercisable only at expiration. This put option becomes activated only when the asset value breaches a lower barrier.

Function: ROBarrierPutDownIn(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

13. Single Barrier Option: Down-and-Out Put. This European single lower-barrier put option is exercisable only at expiration. This put option becomes activated only when the asset value does not breach a lower barrier.

Function: ROBarrierPutDownOut(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

14. Single Barrier Option: Up-and-In Put. This European single upper-barrier put option is exercisable only at expiration. The value of this put option becomes in-the-money only when the asset value breaches an upper barrier.

Function: ROBarrierPutUpIn(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

15. Single Barrier Option: Up-and-Out Put. This European single upper-barrier put option is exercisable only at expiration. This put option becomes activated only when the asset value does not breach an upper barrier.

Function: ROBarrierPutUpOut(Asset, Cost, Barrier, Cash Rebate, Time, Riskfree, Carrying Cost, Volatility)

16. Basic Chooser Option. This option gives the holder the right to choose between a call or put. Both calls and puts are constrained by the

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SOFTWARE FUNCTION DESCRIPTION FOR EXCEL

same expiration date and strike price. Either option may be exercised prior to the expiration date.

Function: ROBasicChooser(Asset, Cost, Chooser Time 1, Maturity Time 2, Riskfree, Carrying Cost, Volatility)

17. American Call Option Using the Binomial (Super Lattice) Approach. This American option gives the holder the right to execute its existing operations at any time within a particular period.

Function: ROBinomialAmerican(Asset, Cost, Time, Riskfree, Volatility, Dividend, Steps)

18. American Abandonment Option Using the Binomial (Super Lattice) Approach. This American option gives the holder the right to abandon existing operations at any time within a particular period and receive the salvage value.

Function: ROBinomialAmericanAbandon(Salvage, Asset, Time, Riskfree, Volatility, Dividend, Steps)

19. American Call Option Using the Binomial (Super Lattice) Approach. This American call option gives the holder the right to execute a project at any time within a particular period at a set implementation cost, calculated using the binomial approach with consideration for dividend payments.

Function: ROBinomialAmericanCall(Asset, Cost, Time, Riskfree, Volatility, Dividend, Steps)

20. American Contraction and Abandonment Option Using the Binomial Approach. This American option gives the holder the right to either contract its existing operations by a contraction factor in order to create some savings, or to abandon entirely its existing operations at any time within a particular period and receive the salvage value.

Function: ROBinomialAmericanConAban(Salvage, Contraction, Savings, Asset, Time, Riskfree, Volatility, Dividend, Steps)

21. American Contraction and Expansion Option Using the Binomial (Super Lattice) Approach. This American option gives the holder the right to either contract its existing operations by a contraction factor in order to create some savings in a market downturn, or to expand its existing operations at an expansion factor at any time within a particular period by spending an appropriate implementation cost in a market upturn.

Function: ROBinomialAmericanConExp(Contraction, Savings, Expansion, Asset, Cost, Time, Riskfree, Volatility, Dividend, Steps)

22. American Contraction, Expansion, and Abandonment Option Using the Binomial (Super Lattice) Approach. This American option gives the holder the right to choose among contracting its existing operations

Real Options Analysis Toolkit Software Function Description for Excel

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by a contraction factor in order to create some savings, or to expand its existing operations at an expansion factor by spending an appropriate implementation cost, or to abandon its operations entirely and receive a salvage value at any time within a particular period.

Function: ROBinomialAmericanConExpAban(Salvage, Contraction, Savings, Expansion, Asset, Cost, Time, Riskfree, Volatility, Dividend, Steps)

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