Re: [amibroker] Re: Black Scholes Option Pricing formula here

["Anthony Faragasso" <ajf1111@xxxxxxxx>]

I agree....

----- Original Message -----

From: treliff

To: amibroker@xxxxxxxxxxxxxxx

Sent: Sunday, March 20, 2005 10:15 PM

Subject: [amibroker] Re: Black Scholes Option Pricing formula here

Unfortunately 4.70 still doesn't include a normal distribution and we
have to work with these code-cluttering approximations. I know this
isn't the place for suggestions but may I politely express the
*hope*
for NORMSDIST and NORMSINV (Excel nomenclature) as fast, native AFL
functions in the near future. Amen.


--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> //BLACK SHCOLES OPTION PRICING FORMULA
>
> //coded by Anthony Faragasso
>
> //1-01-03
>
> // User Variables
>
>
> StockPrice = Param("stockPrice",81,1,200,1); //Stock Price
>
> Timedays = Param("DaysToExpire",30,1,300,1); //Time to expiry (
days to
> exp/365 )
>
> StrikePrice = Param("StrikePrice",75,1,300,1); //strike Price of
Option to
> evaluate
>
> InterestRate= Param
("InterestRate",0.06,0.01,0.11,0.001); //prevailing
> interest rate
>
> VKnown =Param("Volatility",0.30,0.10,0.50,0.001);//You can insert
Known
> volatility here , Implied Volatility.
>
> //////////////////////////////////////////////////////
>
> time=timedays/365;// days to expire conversion formula
>
>
>
> //Formula variables below
>
> /*************************************************/
>
> // Solves for ( X )
>
> x = (ln(stockPrice/strikePrice) + (interestrate +
> Vknown*Vknown/2)*time)/(Vknown*sqrt(time));
>
> /*************************************************/
>
> P = 0.2316419;
>
> bb1 = 0.31938153;
>
> bb2 = -0.3565638;
>
> bb3 = 1.78147794;
>
> bb4 = -1.821256;
>
> bb5 = 1.33027443;
>
> pi = 3.141592654; // PI
>
> A2 = 1/sqrt(2*pi);
>
> A3 = exp(-(x^2)/2);
>
> y= a2*a3;
>
> A4 = exp(-interestrate*time);
>
> t1 = 1/(1+ P*x);
>
> A5=(bb1*t1)+(bb2*t1^2) +( bb3*t1^3)+(bb4*t1^4)+(bb5*t1^5);
>
> /************************************************************/
>
> //Standard Normal Distribution Function of ( x )
>
>
>
> N = 1- y *A5 ;
>
> /************************************************************/
>
> // Solves for ( X1 )
>
> X1=x-Vknown*sqrt(TIME);
>
> y1=1/sqrt(2*pi);
>
> N0=exp(-(x1^2)/2);
>
> T2=1/(1+ P*X1);
>
> A6=(bb1*t2)+(bb2*t2^2) +( bb3*t2^3)+(bb4*t2^4)+(bb5*t2^5);
>
> A7=exp(-interestrate*time);
>
> y2=y1*n0;
>
> /************************************************************/
>
> /* Standard Normal Distribution Function OF ( x1 )*/
>
> /***********************************************************/
>
> N2= 1-y2 * A6;
>
> /************ CALL OPTION FAIR VALUE************/
>
> Call = stockPrice * N - strikePrice * A4 * N2;
>
> /************ PUT OPTION FAIR VALUE*************/
>
> Put = Call - stockprice + strikeprice*A7;
>
>
> Filter = 1;
>
> SetOption("nodefaultcolumns",1);
>
> AddColumn(stockPrice,"AssetP",2.2);
>
> AddColumn(strikeprice,"StrikeP",1.2);
>
> AddColumn(InterestRate*100,"InterestRate%",1.2);
>
> AddColumn(VKnown*100,"Volatility%",1.2);
>
> AddColumn(timedays,"DaysToExpire ",1);
>
> AddColumn(Call,"Call FV",1.2);
>
> AddColumn(put,"Put FV",1.2);
>
> //Notes
>
> /* AA window
>
> 1. Select current symbol ( could be any stock, output is not
associated
>
> with the current stock).
>
> 2. n last quotations
>
> 3. n = 1
>
> 4. Use the Parameters button to make user selections
>
> 5. Click explore */
>
>
>
> --
> No virus found in this outgoing message.
> Checked by AVG Anti-Virus.
> Version: 7.0.308 / Virus Database: 266.7.4 - Release Date: 3/18/2005





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For other support material please check also:
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