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. ______________________________________________________ Get Your Private, Free Email at http://www.hotmail.com