Deriscope ## The Excel Derivatives Periscope

##### Coverage

Vanilla_Option

*Vanilla Option* is a child type of Option that represents a special type of Option, where the underlying contract has the form of a single - not portfolio based - deliverable asset.

Thereby the option holder has the right - but not the obligation - to buy (if a "call option") or to sell (if a "put option") in the future a single share of a specified underlying tradable at some preagreed price called "strike".

In mathematical terms, holding such an option on some underlying S is a means of getting non-linear exposure on that underlying.

In particular, letting *K* be the strike and *ε* equal 1 if call and -1 if put, the option's payoff at exercise date will be *max(ε(S-K), 0)*, versus just *S*, were one to hold just the underlying rather than the option.

The pricing methodology is specified in Model[Vanilla Option]