MathGroup Archive 1999

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volatility and greek values for financial options

  • To: mathgroup at smc.vnet.net
  • Subject: [mg21352] volatility and greek values for financial options
  • From: "Leonard Hieronymus" <lee_hieronymus at hotmail.com>
  • Date: Tue, 28 Dec 1999 01:47:21 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

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.

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