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 >