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MathGroup Archive 2000

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Re: volatility and greek values for financial options

  • To: mathgroup at smc.vnet.net
  • Subject: [mg22223] Re: volatility and greek values for financial options
  • From: Todd Stevenson <todds at wolfram.com>
  • Date: Fri, 18 Feb 2000 02:35:07 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

Barone-Adesi-Whaley is implemented, along with analytical greeks and
implied volatility, in the Mathematica application package Derivatives
Expert 2 (http://www.wolfram.com/products/applications/derivatives/).
Valuations are also available in this package using Black-Scholes, Black
(1976), Garman-Kohlhagen, Shastri-Tandon, several Binomial methods, and a
context reference which describes the appropriate uses for each.

A comprehensive discussion of pricing models can be found in "Modelling
Financial Derivatives," by William Shaw
(http://store.wolfram.com/view/ISBN052159233X/).

-----------------------------------------------------------
Todd Stevenson
Product Manager, Finance
Wolfram Research, Inc.
-----------------------------------------------------------


At 12:49 AM 12/28/99 -0500, Leonard Hieronymus wrote:
>I hope that someone might be able to help me.  I tried e-mailing
>mathsource at wolfram.com but I was told I had to direct my questions to
>your group.  So here goes.  I would like to submit a question
>to the Mathgroup (I was unable to find any information in the Mathgroup
>archives). I recently purchased Finance Essentials as a Mathematica
>Applications Library Add-on.  I want to be able to compute the implied
>volatility and greek values for financial options traded on futures
>contracts.  The preferred model to evaluate these options is the Whaley
>(Quadratic) Model developed by Giovanni Barone-Adesi and Robert E.
>Whaley (1987).  Unfortunately, the Finance Essentials Add-on only
>computes implied volatility and greek values using the Black-Scholes
>Model (1973).  Is there any way to edit the existing Black-Scholes
>option evaluation model in Finance Essentials?  If so, how.  If not,
>could you direct me to a source that would have the Mathematica code
>for the Whaley Model clearly written out?  I am new to Mathematica and
>need a bit of hand-holding if I am forced to write out the Whaley Model
>line by line.  Thank you for your help.
>
>______________________________________________________
>Get Your Private, Free Email at http://www.hotmail.com
>



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