Function outperf(S_ref, S_out, t, q_ref, q_out, v_ref, v_out, rho) As Double
' Computes the price of an outperformance option
Dim v As Double
Dim e1 As Double
Dim e2 As Double
v = Sqr(v_ref ^ 2 + v_out ^ 2 - 2 * rho * v_ref * v_out)
e1 = (Application.Ln(S_out / S_ref) + (q_ref - q_out + 0.5 * v ^ 2) * t) / (v * Sqr(t))
e2 = e1 - v * Sqr(t)
outperf = S_out * Exp(-q_out * t) * Gauss(e1) - S_ref * Exp(-q_ref * t) * Gauss(e2)
End Function