Hello,
I am looking to incorporate the BlackScholes model on option pricing into some Amibroker Code.
Looking through previous posts raises some questions I was hoping for some assistance with.
BlackScholes model alternatives
- I am aware of alternative models and was wondering if anyone had coded any of these into Amibroker?, notwithstanding the appropriateness or validity of them.
Existing Amiboker code on Black Scholes
I am aware of the existing code by;
Anthony Faragasso (2005) Black Scholes Option Pricing which seems to use a Standard Normal Distribution Function of ( x )
Vladimir Gaitanoff (2003)Option Calls, Puts and days till third friday which seems to take the same approach in terms of the distribution function.
I was wondering if anyone had progressed since then, using additional functionality subsequently available in Amibroker.
LogNormal Distribution
I am also aware of Howard Bandy's Normal Distribution function in his book and Amibroker post.
- Is their a LogNormal distribution function in Amibroker?
- Is their an approximation of the LogNormal distribution function that I could use.
A quick Google suggests that various methods have their limitations, although the maths is way beyond my level of understanding.
Would appreciate any support?
Regards
Paul McLaren
Paul McLaren
__._,_.___
Posted by: tavenui@googlemail.com
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (1) |
Save time and get your email on the go with the Yahoo Mail App
Get the beautifully designed, lighting fast, and easy-to-use, Yahoo Mail app today. Now you can access all your inboxes (Gmail, Outlook, AOL and more) in one place. Never delete an email again with 1000GB of free cloud storage.
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
.
__,_._,___
EmoticonEmoticon