Re: ?
- To: mathgroup at smc.vnet.net
- Subject: [mg120875] Re: ?
- From: Andrzej Kozlowski <akoz at mimuw.edu.pl>
- Date: Sun, 14 Aug 2011 08:12:44 -0400 (EDT)
- Delivered-to: l-mathgroup@mail-archive0.wolfram.com
- References: <201108110912.FAA07259@smc.vnet.net>
It seems to have been fixed in a later version of Mathematica. I
remember we discussed this bug in November 2010, when I had an earlier
version of Mathematica 8, but now I get:
In[7]:= FinancialDerivative[{"American",
"Call"}, {"StrikePrice" -> 50,
"Expiration" -> {2011, 12, 16}}, {"CurrentPrice" -> 45,
"InterestRate" -> 0.1, "Volatility" -> 0.1, "Dividend" -> 0.00002}]
Out[7]= 0.322165
In[8]:= $Version
Out[8]= 8.0 for Mac OS X x86 (64-bit) (February 23, 2011)
Andrzej Kozlowski
On 11 Aug 2011, at 11:12, Dana DeLouis wrote:
> ... though I think I am finding some problems with the way
> ... this function (FinancialDerivative) works, especially for American option.
>
> Hi. There are lots of other problems as well. Here's just one.
> This was my first use of the function.
> Note that the dividend of this $45 Call was very small, yet the returned value was almost $44 !!
> This is just not even close!!
>
>
>
FinancialDerivative[{"American","Call"},{"StrikePrice"->50,"Expiration"->{ 2011,12,16}},
>
>
{"CurrentPrice"->45,"InterestRate"->0.1,"Volatility"->0.1,"Dividend"->0.00002}]
>
> 43.94
>
> Changing the dividend just a fraction brought the price down to 0.16
>
>
>
FinancialDerivative[{"American","Call"},{"StrikePrice"->50,"Expiration"->{2011,12,16}},
>
>
{"CurrentPrice"->45,"InterestRate"->0.1,"Volatility"->0.1,"Dividend"->0.00001}]
>
> 0.158963
>
> As others are starting to mention, both the FinancialDerivative and FinancialData functions are just not reliable.
>
> It's too bad. These would be great functions to have working.
>
> Dana DeLouis
> $Version
> 8.0 for Mac OS X x86 (64-bit) (November 6, 2010)
> = = = = = = = = = = = = = = = = = = =
>
>
>
> On Aug 6, 2:16 am, Michael Stern <nycst... at gmail.com> wrote:
>> I've got it,
>>
>> One does
>>
>> FinancialDerivative[{"American", "Put"}, {"StrikePrice" -> 1,
>> "Expiration" -> .1}, {"InterestRate" -> 0, "Volatility" -> 0.1,
>> "CurrentPrice" -> 1, "Dividend" -> 0, "Value" -> .1},
>> {"ImpliedVolatility"}]
>>
>> though I think I am finding some problems with the way this function
>> works, especially for American option.
>>
>> MS
> On Aug 6, 2:16 am, Michael Stern <nycst... at gmail.com> wrote:
>> It would seem that one of the most natural uses of the new built-in
>> FinancialDerivative function would be to solve for its inputs. However,
>> the functions seems to be structured to make this impossible.
>>
>> For example, given the price and other aspects of a European call
>> options, I tried to solve for implied volatility. No luck
>>
>> NSolve[FinancialDerivative[{"European",
>> "Call"}, {"StrikePrice" -> 141,
>> "Expiration" -> .08}, {"InterestRate" -> 0.005,
>> "Volatility" -> x, "CurrentPrice" -> 142.}] == 6., x]
>>
>> FinancialDerivative::checknumeric: Parameters {Volatility->x} cannot
>> have non-numeric values. >>
>>
>> Is there some trick here I'm missing?
>>
>> Michael Stern
>> Merrin Capital Management
>
>
>
- References:
- Re: am I correctly perceiving a weakness in FinancialDerivative[] ?
- From: Dana DeLouis <dana01@me.com>
- Re: am I correctly perceiving a weakness in FinancialDerivative[] ?