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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




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