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{ Function : Vega Provided By : Omega Research.}
inputs: DaysLeft(NUMERIC), strike(NUMERIC), level(NUMERIC), rate(NUMERIC),
vola(NUMERIC), type(NUMERIC);
vars: ModelOptionPrice1(0),ModelOptionPrice2(0), newlevel(0);
ModelOptionPrice1=0;
ModelOptionPrice2=0;
ModelOptionPrice1=BlackScholes(DaysLeft, strike,level,rate,vola,type);
ModelOptionPrice2=BlackScholes(DaysLeft, strike,level,rate,vola+1,type);
Vega=ModelOptionPrice2-ModelOptionPrice1;
Neville
-----Original Message-----
From: evrard_eng <evrard_eng@xxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Thursday, September 28, 2000 1:55 PM
Subject: Vega Formula ?
>Hi,
>Do you have the formula of Vega ? for the US Option ?
>Emmanuel
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