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Hello, artast,
There is a probability calculator in the AFL library; load it into the
guru commentary window.
http://www.amibroker.com/library/formula.php?id=114
Does this help.
Anthony
artast@xxxx wrote:
> Hello Everybody,
>
> I'd like to use Black_Schole Option Formula for my research in AB.
> But I have a problem to define the "Standard Normal Distribution
> Function". It is really a long time I am out of school.
> Please can anybody help me?
> Thanks in advance.
>
> Regards,
> artast
>
> /*The Formula: I entered exact values from the example to check Call
> Fair Value. It should be 15.28. Source
> www.geocities.com/WallStreet/2529/bsopm.htm */
>
> S = 100; //Stock Price for testing
> time = 0.5; //Time to expiry (days to expir/253 or days to exp/365
> E = 90; //Strike
> r = 0.1; //prevailing interest rate
> Q = 0.2; //Volatility
> dd1 = (ln(S/E) + (r + Q*Q/2)*time)/(Q*sqrt(time));
> dd2 = dd1 - Q*sqrt(time);
> A = 0.33267; //koeficient
> bb1 = 0.4361836; //koef
> bb2 = -0.1201676; //koef
> bb3 = 0.937298; //koef
> k = 1/(1+ A*dd1);
> pi = 3.141592654;
>
> N = IIf(dd1>0, 1-(1/sqrt(2*pi))*exp((-dd1*dd1)/2) * ((bb1*k)+
> (bb2*k*k) + (bb3*k*k*k)), IIf(dd1<0, dd2, 0.5)); //Standard Normal
> Distribution Function
>
> Call = S*dd1 -E*exp(-r*time)*dd2; // B&S Formula for Call Option FV
>
> Filter = 1;
> AddColumn(C,"C",1.2);
> AddColumn(Call,"CallFV",1.2);
> AddColumn(N,"N",1.2);
> AddColumn(dd1,"dd1",1.2);
> AddColumn(dd2,"dd2",1.2);
>
>
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