Re: volatility and greek values for financial options
- To: mathgroup at smc.vnet.net
- Subject: [mg21356] Re: [mg21352] volatility and greek values for financial options
- From: Bjorn Leonardz <cBLZ at hhs.se>
- Date: Wed, 29 Dec 1999 14:15:43 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Leonard, >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 haven't checked this, but the first place I would look is the book by William Shaw: Modelling Financial Derivatives with Mathematica. http://store.wolfram.com/view/ISBN052159233X/?3868B8EA-1281 Good luck! Bjorn Leonardz Stockholm School of Economics