You may be making it way too complicated for what you're try to accomplish. Thinkorswims's platform is free and I trust their calculations since they were developed by some really smart guys. If you're building out your own Excel sheet for an API the best route is to simply decide what calculation method you want to use (there are a bazillion ways to calculate an options price) and plug it in directly for your calculations.
One of the really smart guys you refer to (Tom Sosnoff) favourite expressions is "Nothing is as expensive as free!" Is it realistic for Index Option Strikes that TOS indicates that OTM Put strikes have approximately twice probability of expiring ITM as equidistant OTM Call strikes? Then again ... the boys at LTCM were pretty smart guys ...
It was Tom Preston who developed most of the formulas. All options software is going to have bugs (especially in fast markets). I LOVE that book and that's exactly the point I was trying to make about everything being too theoretical.
It was you who said you agreed with the TOS calculations ... and then suggested might be a software bug .... which one you going for?
I didn't say it that way and when someone asks a question you should kind of tone your answer down so the person can understand rather then confuse them more. No need to be rude and all uppity.
Hi sle, This one? Prices of State-Contingent Claims Implicit in Option Prices. Douglas T. Breeden; Robert H. Litzenberger. The Journal of Business, Vol. 51, No. 4 (Oct., 1978) http://faculty.baruch.cuny.edu/lwu/890/BreedenLitzenberger78.pdf would the pdf be smooth if you use flys? in general, how would the pnl be explained when you long/short at the strikes of discrepancies between implied pdf and your "calculated" pdf thanks, lcs