black scholes model

Discussion in 'Options' started by clarodina, Aug 17, 2009.

  1. hi anyone knows how IB calculate option pricing using the black scholes model? the model has risk free interest rate and standard deviation.
  2. You mean Investment Banks or Interactive Brokers?
    If interactive, where is it that they calculate a price with it?
  3. interactivebrokers

    do they use black scholes model for their pricing of options? but the calculated amt seems to differ from the price on their platform
  4. Hi Clarodina.

    I remember i had vast ES option positions and under my account where i would view my PnL the values that IB would give would often be outside of the market bid ask for that option.

    What i seemed to notice is they create a fixed volatility curve at the beginning of the day from the previous days close volatility curve and then during the day your options are valued off the previous days volatility curve. So if during the day implied volatility rises, it is not reflected in your live PnL section of your account.

    I stand to be corrected but i think this is what they do