|
PureBytes Links
Trading Reference Links
|
are the interest rates the same?
the most common problem is the lack of an apropiate use of the int rates in
the BS formulas for excel
if you use a palm forget it, just get an option pricng app, i use option
raptor and power one fin calulator
Pablo
----- Original Message -----
From: "sebastiandanconia" <sebastiandanconia@xxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Monday, November 25, 2002 11:42 AM
Subject: [Metastockusers] Black-Scholes, Optionscope vs. Excel
> I've entered the Black-Scholes Option Pricing Formula into an Excel
> spreadsheet...maybe.:)) I wanted to test it to see if I got it
> entered correctly, so I input the same option-pricing parameters into
> both my Excel formula and Optionscope. Same security price, strike,
> time to expiry, volatility, interest rate, etc.
>
> The call price calculations were within 2/10 of 1% of each other, and
> I'm assuming that could just be because of a difference in rounding
> between the two software programs.
>
> But the put price calculations are off by about 10%. (Excel came out
> with a put price 10% lower than Optionscope.)
>
> I'm using Excel 2000 and Optionscope 2.1 (in Metastock 6.52).
>
> Are there differences in the way that Metastock makes calculations
> and the way Excel makes them? Any assumptions that are different in
> the two software programs that might cause subtle changes in the
> outputs? Did MS alter Black-Scholes in some way when they entered
> the formula into Optionscope? Have I discovered a "bug" in an out-of-
> date software package?:) Or is my high-school algebra simply so far
> out-of-date that the old rules don't even apply any more and I've
> made an embarrassing rookie error?:)))
>
> TIA for any helpful hints.:)
>
>
> Luck to all,
>
> Sebastian
>
>
>
> To unsubscribe from this group, send an email to:
> Metastockusers-unsubscribe@xxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
------------------------ Yahoo! Groups Sponsor ---------------------~-->
ˇFREE Health Insurance Quotes-eHealthInsurance.com
http://us.click.yahoo.com/1.voSB/RnFFAA/46VHAA/zMEolB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
Metastockusers-unsubscribe@xxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|