American Vanilla Option

Last updated 9 November 2026

Function reference › Equity Derivatives › American Vanilla Options

19 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_EQD_VanillaA_Greeks

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate, using a binomial model.

GIA_EQD_VanillaA_Greeks(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, n, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`n`	Required	The number of steps in the binomial tree.
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksApprox

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_GreeksApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromCurve

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate curve, using a binomial model.

GIA_EQD_VanillaA_GreeksFromCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, n, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`n`	Required	The number of steps in the binomial tree.
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromCurveApprox

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate curve, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_GreeksFromCurveApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromSurface

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate, using a binomial model.

GIA_EQD_VanillaA_GreeksFromSurface(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, n, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`n`	Required	The number of steps in the binomial tree.
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromSurfaceAndCurve

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve, using a binomial model.

GIA_EQD_VanillaA_GreeksFromSurfaceAndCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, n, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`n`	Required	The number of steps in the binomial tree.
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromSurfaceAndCurveApprox

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_GreeksFromSurfaceAndCurveApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_GreeksFromSurfaceApprox

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_GreeksFromSurfaceApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns: Greeks of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`GreekType`	Required	The Greek's type returned by the function (Delta, Gamma, Vega, Theta, Rho1, Rho2, Vanna, Volga)

GIA_EQD_VanillaA_ImpliedVolApprox

Returns the implied volatility of an American equity vanilla option, given the option's value, continuous dividend yield and interest rate, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ImpliedVolApprox(OptionType, SharesNumber, Strike, EDate, DDate, OptionValue, S, DividendYield, InterestRate, VDate, Comp, Days)

Returns: Implied volatility of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`OptionValue`	Required	The option's value
`S`	Required	The spot price.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)

GIA_EQD_VanillaA_ImpliedVolFromCurveApprox

Returns the implied volatility of an American equity vanilla option, given the option's value, continuous dividend yield and interest rate curve, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ImpliedVolFromCurveApprox(OptionType, SharesNumber, Strike, EDate, DDate, OptionValue, S, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns: Implied volatility of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`OptionValue`	Required	The option's value
`S`	Required	The spot price.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)

GIA_EQD_VanillaA_Value

Returns the value of an American equity vanilla option, given volatility, continuous dividend yield and interest rate, using a binomial model.

GIA_EQD_VanillaA_Value(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, n)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`n`	Required	The number of steps in the binomial tree.

GIA_EQD_VanillaA_ValueApprox

Returns the value of an American equity vanilla option, given volatility, continuous dividend yield and interest rate, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ValueApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)

GIA_EQD_VanillaA_ValueFromCurve

Returns the value of an American equity vanilla option, given volatility, continuous dividend yield and interest rate curve, using a binomial model.

GIA_EQD_VanillaA_ValueFromCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, n)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`n`	Required	The number of steps in the binomial tree.

GIA_EQD_VanillaA_ValueFromCurveApprox

Returns the value of an American equity vanilla option, given volatility, continuous dividend yield and interest rate curve, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ValueFromCurveApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`Vol`	Required	The volatility of the underlying asset.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)

GIA_EQD_VanillaA_ValueFromSurface

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate, using a binomial model.

GIA_EQD_VanillaA_ValueFromSurface(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, n)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`n`	Required	The number of steps in the binomial tree.

GIA_EQD_VanillaA_ValueFromSurfaceAndCurve

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve, using a binomial model.

GIA_EQD_VanillaA_ValueFromSurfaceAndCurve(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, n)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`n`	Required	The number of steps in the binomial tree.

GIA_EQD_VanillaA_ValueFromSurfaceAndCurveApprox

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ValueFromSurfaceAndCurveApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`CurveDates`	Required	The array of dates in the interest rate curve.
`CurveRates`	Required	The array of rates in the interest rate curve.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)

GIA_EQD_VanillaA_ValueFromSurfaceApprox

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate, using the Bjerksund-Stensland flat boundary approximation.

GIA_EQD_VanillaA_ValueFromSurfaceApprox(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days)

Returns: Value of an American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`SharesNumber`	Required	The number of shares.
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`DividendYield`	Required	The continuous annual dividend yield.
`InterestRate`	Required	The interest rate.
`VDate`	Required	The value date.
`Comp`	Required	The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)

GIA_EQD_VanillaA_VolFromSurface

Returns the volatility for an American equity vanilla option extracted from a volatility surface, given continuous dividend yield and interest rate.

GIA_EQD_VanillaA_VolFromSurface(Strike, EDate, DDate, S, VolSurface, VDate)

Returns: Volatility for an American equity vanilla option extracted from a volatility surface

Argument	Use	Description
`Strike`	Required	The option's strike price.
`EDate`	Required	The expiry date.
`DDate`	Required	The delivery date.
`S`	Required	The spot price.
`VolSurface`	Required	The volatility surface.
`VDate`	Required	The value date.