Re: volatility and greek values for financial options
- To: mathgroup at smc.vnet.net
- Subject: [mg21358] Re: volatility and greek values for financial options
- From: ERIC SPAHR <espahr at home.com>
- Date: Wed, 29 Dec 1999 14:15:44 -0500 (EST)
- References: <199912280549.AAA26116@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
I have not used Finance Essentials so I don't know how that package can be modified to what you want. The Whaley quadratic approximation just estimates the difference between american and european option prices using Black Scholes and then solves. For a huge Mathematica presentation on options see the William Shaw book Modelling Financial Derivatives, particularly the chapter on Analytical Americans.