Hello, I am looking for calculations for as many greeks as possible in the "Black-Scholes" I have found calculations here: http://www.wilmottwiki.com/wiki/index.php?title=Call_option When reading, they states: "The value of a European call option in the Black-Scholes world is..." I wonder if the formulas are the same for European and American options? If not, I am looking for the American calculations. I am looking for CALL and PUT(American calculations) for at least: Delta, Gamma, Theta, Speed, Charm, Colour, Vega, Vanna, Vomma and Veta. Thanks
It's the Bjerksund-Stensland model. There's not really a formula per se but lots of code implementations in c++, c#, java etc.
in 99% of circumstances they are similar. EMH stipulates there is no advantage to early exercise unless there is a dividend, and that options are priced correctly
Well 99% is a bit of an exaggeration. Many American stocks have dividends that are > the risk free rate. Early exercise does in fact happen in those cases.
Ofcourse there has to be formulas. What is implemented in C# is based on formulas. I do code in C# and wonder if you know any code implementations for all the greeks in my first post? I beleive we could say that we should have the american formulas?
There is no closed form formula that you can write on a chalk board. Just algorithms normally based on some kind of path dependent or path independent tree.
I meant not readily available on the internet. If you can lay your hands on Espen Haug's "The Complete Guide to Option Pricing Formulas" it's all in there in gory detail. C# you say? Check this out: http://www.risk256.com/code/Options.cs You're welcome.
stevegee58, That was perfect really! I will try out that code. I have implemented this library and I will be able to implement more greeks to the existing code. Thank you for that help!
Hi, Interactive Brokers has a function to receive greeks, volatility... calculateOptionPrice() https://www.interactivebrokers.com/en/software/api/api.htm