a guy I work with wants to get what he calls an option pricing model. He wants to see the THEORETICAL option price according to Black Scholes. He also wants to see the corresponding theoretical greeks. he wants all of these to update in real time and have in a grid in which strikes are on the horizontal axis and expires on the vertical. The issue I'm running into is that one way or another I'm going to need to get the historical volatility of the underlying (nat gas futures) to calculate a theoretical option price (either by excel function or import from a data provider), which is easiest to get from Reuters in Bloomberg, and also, they probably have theoretical option prices availabe on there, but I'm looking for a less expensive option. does anybody have any ideas?
Yea, it's called Google. 2 or 3 seconds after, it's called Wikipedia, then take a look at 'Computer implementations' and heaven is on earth.
http://www.optiontradingtips.com/pricing/free-spreadsheet.html Create your own template to your taste and have it call values from the spread sheet above. Side note: saw a nice back of the envelope calculation there for ATM: .4 * S * IV * sqrt(T) Extending that to OTM: .4 * S * IV * sqrt(T) - 0.5 * (S - K) or (K-S) for calls
http://www.global-derivatives.com/index.php?option=com_content&task=view&id=173 There's a lot of various implementations there. As to the back of the envelope calc for an ATM straddle, it just comes out of the BS pricing formula.
My bad, but I didn't want to be rude . It's just there are a lot of threads here on ET about that, so with a quick search you would get what you was waiting for. My point was that there are a lot of more stuffs on Black and Scholes and computer implementations among others on the web, and once again, a quick search would give you answers . If you want informations, you would have to show you've made a small effort by yourself first to get it. It's a fair deal don't you think ?