Correcting blsprice(...) when I have negative foreign rate

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Marco De Pascale 2019-11-7

评论： Marco De Pascale 2019-11-7

To whom it may concern,

I would know I should correct blsprice formula when I have blsprice(stock,strike,rate,time,volatility,negative foreign rate)

Best regars,

Marco.

KALYAN ACHARJYA 2019-11-7

[call, put]=blsprice(stock,strike,rate,time,volatility)

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Good evening,

i try to explain my problem in a better way.

I have an option with:

stock price = 1.33 (it's the current exchange rate)

strike price = 1.33

rate = -0.03

time = 1 (year)

foreign rate = 0.02

How can I use blsprice formula to pricing this currency option?

thank you very much.

Best Regards

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