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I am working on the formulas, check out the attached image file, the
problem is in the Norms dist function as you can see, in Excel the
formulas are correct, but using the formulas that you supplied return a
( - 1.647 ) . Will send when fixed.
Anthony
artast@xxxx wrote:
> Anthony,
>
> Thank you for a quick reply. Please is it possible to check and
> correct Standard Normal Distribution Function (N) and Call formula
> (Call = S*dd1 -E*exp(-r*time)*dd2) by you? dd1 formula is correct
> (1.17) and Call FV should be 15.28 in this example.
> Thanks in advance.
>
> Regards,
> artast
>
> --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > Hello Artast;
> >
> > I tried your formula in Automatic analysis, and hit explore , it
> seems
> > to be using the( apply to and range ) options in the Automatic
> > analysis window.
> >
> > 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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