Someone a while ago asked for this BLack-Scholes Option calcualtions I did not do the function...for now I did the Excel sheet.
Symbol__ Week's Max Week's Min A 34.17 31.18 AA 29.16 25.93 AAPL 79.95 70.78 ABC 48.63 42.92 ABI 34.80 31.48 ABK 87.73 79.83 ABT 51.41 44.03 ACE 60.04 51.16 ACI 31.84 24.50 ACS 53.47 49.32 ACV 52.32 48.39 ADBE 39.93 35.09 ADCT 15.46 14.69 ADI 30.22 28.60 ADM 39.54 35.52 ADP 48.78 46.24 ADSK 37.65 31.02 AEE 53.21 52.23 AEP 38.70 35.32 AES 21.32 19.70 AET 43.50 36.80 AFL 46.55 44.54 AGN 120.22 105.66 AIG 68.73 64.79 AIV 60.10 51.04 ALL 66.61 60.50 ALLB 26.57 21.66 ALTR 19.73 17.32 AMAT 18.84 16.89 AMCC 3.22 2.72 AMD 26.47 23.21 AMGI 2.76 2.06 AMGN 79.65 65.40 AMP 51.66 44.50 AMPX 18.21 10.30 AMSG 25.73 20.15 AMZN 36.27 28.50 AN 21.72 20.42 ANDW 9.82 8.49 ANGN 13.31 4.51 AOC 34.99 32.84 APA 67.63 57.43 APC 47.28 37.86 APCC 22.96 20.57 APD 69.21 64.89 APOL 57.35 45.26 APY 2.05 1.76 ASB 2.85 1.22 ASD 46.23 39.48 ASH 64.77 62.62 ASN 59.68 51.14 ASO 31.05 27.83 AT 59.43 52.99 ATI 70.64 54.88 AV 12.94 10.62 AVP 31.92 29.44 AVY 63.21 58.12 AW 11.58 11.00 AXK 2.48 1.91 AXL 18.00 16.11 AXP 58.85 53.30 AYE 40.82 39.77 AZO 115.58 96.98 BA 91.34 72.96 BAC 56.63 51.85 BAX 46.27 44.02 BBBY 42.98 35.92 BBT 44.57 43.24 BBY 62.30 48.50 BC 33.29 29.62 BCR 77.19 73.44 BDK 84.37 76.80 BDL 9.06 8.95 BDX 72.87 68.69 BEN 112.36 101.28 BHI 73.76 62.52 BIIB 48.56 41.95 BITS 11.37 7.90 BJS 32.82 25.39 BK 36.84 34.07 BKRS 14.18 12.01 BLL 42.80 38.50 BLS 43.59 41.15 BMC 28.75 25.41 BMET 36.08 30.06 BMS 34.70 31.54 BMY 24.96 24.14 BNI 81.80 68.01 BOL 51.41 47.85 BR 920.12 829.00 BRCM 32.54 27.70 BRL 53.04 50.45 BRT 30.35 27.19 BSC 160.01 131.22 BSX 15.23 14.30 BUD 48.57 46.35 C 53.40 47.29 CA 24.23 23.29 CAG 25.67 23.60 CAH 67.75 64.20 CAL 35.26 25.58 CAT 71.55 60.90 CB 55.99 49.61 CBE 91.04 81.71 CBS 29.18 27.66 CBSS 58.30 56.20 CC 30.82 21.96 CCE 21.61 20.13 CCL 51.05 44.83 CCU 30.42 27.97 CEG 61.87 58.12 CFC 39.27 32.25 CHK 29.98 27.66 CI 122.63 110.51 CIEN 4.41 4.10 CINF 49.39 47.35 CIT 51.75 45.83 CJR 39.12 36.72 CL 63.82 60.96 CLG 6.23 3.79 CLX 66.51 60.90 CMA 57.94 55.23 CMCSA 38.60 35.20 CMG 53.12 46.79 CMI 141.39 105.21 CMS 15.51 13.92 CMT 7.44 6.27 CMVT 23.32 20.09 CMX 59.16 52.80 CNFL 6.10 5.73 CNP 15.20 13.70 CNX 34.78 26.90 COF 81.91 75.28 COH 38.48 31.75 COL 59.71 52.20 COP 63.80 52.28 COST 52.68 46.84 CPB 37.29 35.09 CPST 1.79 1.25 CPWR 8.32 7.48 CPY 50.84 47.48 CRTX 2.43 2.36 CSC 49.76 47.75 CSCO 25.48 21.57 CSX 35.75 31.16 CTAS 43.08 38.85 CTB 10.29 9.76 CTCO 41.91 40.85 CTE 1.52 1.18 CTL 42.79 37.56 CTT 2.88 2.33 CTU 2.53 1.67 CTX 55.47 51.24 CTXS 38.76 31.40 CUK 50.86 46.35 CVG 21.72 19.84 CVH 54.13 48.63 CVS 33.95 29.74 CVV 3.78 3.22 CVX 67.22 60.89 CZN 14.89 13.59 D 77.17 76.18 DD 44.26 41.83 DDS 36.59 29.10 DE 92.04 78.29 DELL 24.02 22.02 DELT 9.80 8.84 DG 14.07 13.13 DGX 79.92 37.33 DHI 25.40 22.60 DHR 70.99 65.15 DIS 32.03 29.88 DJ 34.82 31.96 DNE 1.58 1.38 DO 81.71 55.61 DOC 2.82 2.32 DOV 49.34 45.55 DOW 39.55 37.86 DRI 46.63 39.83 DTE 43.47 40.54 DUK 32.82 28.99 DVN 67.87 55.62 DYN 5.69 5.28 EBAY 34.33 24.29 ECL 46.03 40.19 ED 47.82 45.34 EDS 25.10 23.58 EFX 37.89 35.08 EIX 44.40 40.34 EK 22.87 21.87 EL 41.56 38.91 ELP 12.80 10.62 EMC 12.84 11.29 EMN 55.87 52.95 EMR 86.46 82.10 END 3.09 2.12 EOG 68.82 58.83 EOP 43.19 38.20 EP 14.33 12.48 EPG 4.74 4.14 EQR 54.29 48.43 ERTS 58.53 51.01 ESRX 80.03 72.57 ET 26.73 22.23 ETN 72.22 67.19 ETR 83.93 75.75 EXC 61.52 59.83 F 9.09 7.52 FCL 35.30 28.47 FCX 60.35 43.75 FD 44.45 42.42 FDC 24.13 21.95 FDO 31.73 27.39 FDX 118.63 102.33 FE 60.27 54.08 FHN 39.91 37.00 FII 36.57 32.39 FISV 49.71 45.65 FITB 39.43 37.13 FLR 83.26 70.45 FNM 61.23 51.48 FO 76.59 73.36 FORM 47.06 37.63 FPL 49.08 42.98 FRE 69.06 63.40 FRED 13.83 11.94 FREE 5.65 4.00 FRX 52.20 49.67 FSH 80.88 75.69 FSN 2.06 1.60 GAS 45.79 40.81 GCI 58.24 55.54 GD 79.87 67.95 GDP 34.46 22.65 GDW 78.30 74.62 GE 37.57 34.08 GENZ 73.39 63.18 GFX 5.54 4.99 GGR 6.72 4.51 GIII 12.03 10.54 GILD 75.67 55.62 GIS 57.36 54.47 GLD 63.92 52.27 GLW 26.00 22.73 GM 33.94 32.72 GNW 36.71 33.30 GOOG 434.89 380.86 GPC 44.73 42.03 GPS 20.09 18.15 GR 43.26 38.55 GS 187.01 160.46 GT 14.78 13.91 GTW 1.98 1.73 GVP 3.66 3.46 GWW 71.20 63.81 GYMB 46.42 40.11 HAL 30.77 24.56 HAR 90.10 79.10 HAS 23.37 21.99 HBAN 24.23 23.45 HCA 50.44 49.61 HCO 3.56 1.08 HCR 54.02 49.15 HD 39.20 34.62 HET 91.29 59.36 HIG 95.76 80.56 HLT 30.19 26.04 HMA 21.50 20.15 HMX 7.09 6.16 HNZ 42.87 41.00 HON 45.22 38.78 HOT 64.52 52.46 HPC 16.80 14.99 HPQ 39.78 35.40 HRB 22.43 20.81 HSKA 1.78 1.63 HSP 39.58 36.23 HSY 54.67 51.32 HUM 70.87 63.57 IACIW 5.72 4.18 IBM 85.18 79.51 ICE 96.39 63.78 ICH 6.60 4.66 IDN 6.15 4.99 IEDU 12.24 10.01 IFF 40.86 38.86 IGT 44.07 39.25 IHR 11.77 9.28 IIG 14.66 13.47 IMX 3.79 2.52 INB 9.31 7.09 INCY 4.72 3.84 INFA 14.79 12.42 INSP 23.06 16.79 INTC 21.33 19.96 INTU 37.90 28.87 IP 35.80 33.94 IPA 1.61 1.25 IPG 10.35 9.52 IR 41.22 36.47 ISV 1.71 1.43 ITT 55.44 47.75 ITW 50.22 41.80 ITWO 19.33 17.51 IVTA 7.12 7.12 IW 2.16 1.62 JBL 33.65 26.01 JCI 81.44 66.10 JCP 75.93 64.18 JDSU 2.30 2.12 JNJ 66.88 63.75 JNS 21.55 18.15 JNY 33.39 31.52 JP 114.95 108.31 JPM 49.14 45.14 JWN 50.02 38.63 K 50.67 48.39 KAD 3.51 2.87 KBH 45.02 42.64 KEY 38.70 36.40 KG 17.95 16.22 KLAC 47.01 42.14 KMB 67.79 63.66 KMG 20.36 20.36 KMI 105.38 104.45 KNL 21.70 19.17 KO 45.30 44.05 KR 23.81 22.23 KSE 41.61 40.62 KSS 74.64 60.15 LEA 22.24 19.82 LEG 26.07 24.22 LEH 79.14 71.33 LEN 47.24 43.75 LGBT 5.11 4.02 LH 71.81 61.73 LIZ 40.55 38.99 LLL 79.77 76.83 LLTC 33.62 29.52 LLY 59.27 55.14 LMS 25.15 22.16 LMT 90.35 83.95 LNC 66.53 59.32 LOW 33.18 25.29 LPX 19.29 18.39 LRW 18.19 14.58 LSI 8.70 7.69 LTD 30.32 24.68 LTR 38.76 36.88 LU 2.43 2.25 LUV 17.13 16.44 LXK 62.67 54.95 MA 75.92 65.22 MAR 43.89 34.62 MAS 28.23 26.60 MAT 20.96 18.76 MBI 62.61 60.59 MCD 41.07 38.23 MCK 54.93 51.69 MCO 69.47 57.99 MDP 53.59 46.75 MDT 53.42 42.47 MDV 12.86 7.73 MEDI 31.50 27.36 MEL 40.19 38.55 MER 86.95 73.44 MET 59.05 54.55 MGI 30.82 25.95 MHP 59.95 56.64 MHS 60.80 59.11 MI 49.05 47.04 MII 1.76 1.63 MIL 63.65 59.11 MIVA 3.88 2.33 MKC 38.70 36.73 MLHR 36.45 32.29 MMC 28.67 26.98 MMK 1.67 1.22 MMM 78.45 70.87 MNC 12.59 10.10 MNST 44.31 32.66 MO 81.18 72.67 MOLX 39.44 38.37 MON 48.67 45.60 MOT 26.60 23.96 MOVI 2.20 1.76 MRK 42.82 40.78 MRO 83.04 67.33 MS 77.18 70.42 MSFT 28.95 26.29 MTB 121.85 117.35 MTG 63.55 57.27 MTOX 10.74 8.33 MU 18.79 16.49 MUR 51.33 42.61 MWV 27.80 25.96 MXIM 29.97 26.57 MYL 21.90 19.00 NAV 26.97 24.94 NBR 31.97 25.50 NCC 38.00 35.95
I do not think this is OK... I think some error someplace in the equations... Will post one when i fix it Rather large equations..
I think there's a strong criticism regarding Black-Scholes options model (mainly because they treat the price distribution as normal distribution while in the real world, it ain't like that). Care to try it with binomial theory?
ozzie/ seems Like there is a trade off between the 2 methods BiNomial is better for short term , while BLack is better is better long term ... I think. Thinking that the central Limit Theorm is why that trade off is there... to change all these to any distribution is use (Tyches... "Spelling") method where probl (X>x) <1/K^2 X>x_Bar+K*S x_Bar is avg K= arbitray S=STD DEV I will have to look up the original Model for Both and covert into non normality assumption
It looks as though you're at 2 sigmas in your calx. Ozzie, BAW and CRR-binomial rapidly converge. Both assume a normal distro, non-stoch vols.
as alternative t distribution has a small thing to it ----> df= degress of freedom I guess Black method works fine if the expiry is more then 30 Trade periods. Days...what ever... I guess the Black-Sholtes Model need one more Parameter which is (IMO) the probablity error Type I alfa... Trading options IMO is always over valued then fair value. Considering that one needs to be accurate of Levels...then trying to evlaute the fair value... Fair Value is Just the MKT... GL