Garman-Kohlhagen is a formula for estimating the value of a European call option on foreign exchange. It assumes the risk-free interest rate (being paid on the foreign currency) as a continuous dividend yield, and avoids the Black Scholes option pricing model's assumption that borrowing and lending takes place at the same interest rate.

You must sign-in or register to comment on templates

    SpreadsheetZone

    Creating Document...