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Neville ,
Wonderfull !!!! Thank you very much !!!
Emmanuel
----- Original Message -----
From: N&M Smith <nmsmith@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, September 29, 2000 1:52 AM
Subject: Re: Vega Formula ?
> { 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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