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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Black-Scholes Stock Option [was: Combing Variables] |

Date |
Wed, 27 Apr 2011 20:37:29 +0100 |

"Combing" is at best a typo for "combining" and a recent accident from someone else; no call to repeat it. In any case, please use imformative titles. As to what commmand you should use, sounds like -generate- or a Mata function to me. The restriction to one amount per observation is no restriction, really. Nick On Wed, Apr 27, 2011 at 8:24 PM, Ferdinand Siagian <fsiagian@maine.edu> wrote: > Hi, > > I would like to create a program to calculate Black-Scholes Stock Option > Value model. The value depends on several variables; stock price, exercise > price, standard deviation, time to maturity, and risk-free rate. I can > develop the formula to calculate the value of call option using Stata but > only for 1 amount for each input variable. > > My question is, how to program Stata if I want to calculate call option > values using different amount of those input variables simultaneously? The > combinations can be too many to calculate the values one by one. Is it > possible? > > For example (I simplify by including only 2 amounts for each input > variables), > Stock price is either $50 or $55. > Exercise price is either $65 or $70. > Standard deviation is either 0.25 or 0.30. > Time to maturity is 6 months or 12 months. > Risk-free rate is 0.5% or 0.75%. > > What command should I use? Thank you very much for the help. > > Ferdi > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Black-Scholes Stock Option***From:*Ferdinand Siagian <fsiagian@maine.edu>

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