The Executive function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European style executive option using Jennergren and Naslund’s model. See Multiple Exercise Options for a further explanation.
Executive 
(OptionType, ModelStatistic, Asset, Strike, TimeExpire, Volatility, InterestRate, YieldRate, JumpRate, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 
Asset 
The price of the underlying asset. Must be > 0. 
Strike 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
JumpRate 
The jump rate per year. Must be >= 0. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldType 
Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions for an executive call option whose asset price 2 years from expiration is $74.5. The exercise price is $65, the riskfree interest rate is 7% per annum, the yield rate is 5% per annum, the jump rate per year is 20%, and the annual volatility is 25%. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
10.182782 
Asset 
74.5 

2 
Delta: 
0.455140 
Strike 
65 

3 
Gamma: 
0.007311 
TimeExpire 
2 

4 
Theta: 
0.002200 
Volatility 
25% 

5 
Implied Vol.: 
0.240954 
InterestRate 
7% 

6 
Vega: 
0.202898 
YieldRate 
5% 

7 
Rho: 
0.474503 
JumpRate 
20% 

8 
Psi: 
0.678159 
MarketPrice 
10 

9 
Lambda: 
3.329928 
TimeFormat 
Years 

11 
Strike Sensitivity: 
0.365002 



13 
Implied Strike: 
65.504110 
For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Multiple Exercise Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.