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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 * * 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/

* * 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/

**References**:**Re: st: Black-Scholes Stock Option [was: Combing Variables]***From:*Nick Cox <njcoxstata@gmail.com>

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