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Re: st: Black-Scholes Stock Option


From   Ferdinand Siagian <fsiagian@maine.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Black-Scholes Stock Option
Date   Wed, 27 Apr 2011 15:47:01 -0400

Thank you Nick.

I will look at Mata function.

Ferdi

On 4/27/11 3:37 PM, Nick Cox wrote:
"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
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