Vanilla Option

Last updated 9 November 2026

Function reference › Equity Derivatives › Vanilla Options

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

GIA_EQD_Vanilla_Greeks

Returns the Greeks of a European or American equity vanilla option, given volatility, continuous dividend yield and interest rate.

GIA_EQD_Vanilla_Greeks(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType, Model, n, [Seed])

Returns: Greeks of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_GreeksFromCurve

Returns the Greeks of a European or American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

GIA_EQD_Vanilla_GreeksFromCurve(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType, Model, n, [Seed])

Returns: Greeks of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_GreeksFromSurface

Returns the Greeks of a EurEuropean or American opean equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

GIA_EQD_Vanilla_GreeksFromSurface(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, GreekType, Model, n, [Seed])

Returns: Greeks of a EurEuropean or American opean equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_GreeksFromSurfaceAndCurve

Returns the Greeks of a European or American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

GIA_EQD_Vanilla_GreeksFromSurfaceAndCurve(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType, Model, n, [Seed])

Returns: Greeks of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_ImpliedVol

Returns the implied volatility of a European or American equity vanilla option, given the option's value, continuous dividend yield and interest rate.

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

Returns: Implied volatility of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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_Vanilla_ImpliedVolFromCurve

Returns the implied volatility of a European or American equity vanilla option, given the option's value, continuous dividend yield and interest rate curve.

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

Returns: Implied volatility of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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_Vanilla_Value

Returns the value of a European or American equity vanilla option, given volatility, continuous dividend yield and interest rate.

GIA_EQD_Vanilla_Value(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, Model, n, [Seed])

Returns: Value of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_ValueFromCurve

Returns the value of a European or American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

GIA_EQD_Vanilla_ValueFromCurve(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Model, n, [Seed])

Returns: Value of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_ValueFromSurface

Returns the value of a European or American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

GIA_EQD_Vanilla_ValueFromSurface(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, Model, n, [Seed])

Returns: Value of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_ValueFromSurfaceAndCurve

Returns the value of a European or American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

GIA_EQD_Vanilla_ValueFromSurfaceAndCurve(OptionType, ExerciseType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Model, n, [Seed])

Returns: Value of a European or American equity vanilla option

Argument	Use	Description
`OptionType`	Required	The option type (Call, Put)
`ExerciseType`	Required	The exercise type of the option (European/American)
`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)
`Model`	Required	The pricing model (BlackScholes, Binomial, Approximation, MonteCarlo)
`n`	Required	The number of steps in the binomial tree or the number of performed Monte Carlo simulations.
`Seed`	Optional, default 111	The seed for the random number generator (optional, relevant only to the Monte Carlo method).

GIA_EQD_Vanilla_VolFromSurface

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

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

Returns: Volatility for a European or 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.