Attribute VB_Name = "Module2"
Public Function exchangeoption(sa, sb, rho, r, sga, sgb, t)
b2 = (sga ^ 2 - 2 * rho * sga * sgb + sgb ^ 2) * t
d1 = (Log(sa / sb) + b2 / 2) / Sqr(b2)
d2 = d1 - Sqr(b2)
nd1 = Application.WorksheetFunction.NormSDist(d1)
nd2 = Application.WorksheetFunction.NormSDist(d2)
exchangeoption = sa * nd1 - sb * nd2
End Function
Public Function gapcall(s, k1, k2, r, sg, t)
d1 = (Log(s / k2) + (r + sg ^ 2) * t) / Sqr(t) / sg
d2 = d1 - sg * Sqr(t)
nd1 = Application.WorksheetFunction.NormSDist(d1)
nd2 = Application.WorksheetFunction.NormSDist(d2)
gapcall = s * nd1 - k1 * Exp(-r * t) * nd2
End Function