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Re: st: Black Scholes


From   "Eric G. Wruck" <ewruck@econalytics.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Black Scholes
Date   Fri, 21 Jul 2006 16:16:08 -0400

I have not heard of the Caribbean footballer you describe.  However, I would bet Joserra is asking about a method for estimating the value of options as devised by Fisher Black (now deceased) & Myron Scholes sometime in the 1970s.

So Joserra, you would be well advised to get a better handle on the Black-Scholes formula & obtain some data.  If you have the option prices & terms (strike price, time to maturity, risk-free rate, dividend rate) then you should be able to get an estimate of the stock volatility.  This would be the volatility implied by the option price & other known or estimated variables.  Once you have gotten your data into Stata & struggled some with the inevitable difficulties, feel free to write again with more detailed --as opposed to  open-ended-- questions.

Bon chance!

Eric

 

>Joserra Coco wrote:
>
>> Does anybody know whether there is some command or code for calculating
>> implied volatilities in the Black Scholes model?. Thanks for any info.
>
>I'm intrigued. Is the 'Black Scholes' model an Afro-Caribbean version of
>Paul Scholes, the former Manchester United and England footballing
>midfielder? If true, I'd very much like to see it (maybe Benetton would be
>interested).
>
>If not, then I haven't the faintest idea what you're talking about, and I
>suspect that goes for most of the list, judging by the fact that I'm the
>first to respond to this! You're strongly advised to take a look at the
>FAQ, particularly
>
>http://www.stata.com/support/faqs/res/statalist.html#noanswer
>
>as a guide for future reference when posting questions.
>
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-- 

===================================================

       Eric G. Wruck
       Econalytics
       2535 Sherwood Road
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       website: http://www.econalytics.com

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