S slickpick Feb 16, 2011 #12 Those are all closed-form solutions posted from QN, I believe. If you wanted to compute it quickly you could either do it numerically or use a symbolic engine (e.g. matlab) to back out a solution.
Those are all closed-form solutions posted from QN, I believe. If you wanted to compute it quickly you could either do it numerically or use a symbolic engine (e.g. matlab) to back out a solution.
K karan Feb 17, 2011 #13 Quote from deltahedge: Sir King, Thanks for the prompt response. So the question then remains where I can find a program where Charm is calculated? More... Take a look at The Complete Guide to Option Pricing Formulas http://www.amazon.com/Complete-Guid...dp/0071389970/ref=ed_oe_h/102-6586210-0500134 The code is shown in Excel VBA.
Quote from deltahedge: Sir King, Thanks for the prompt response. So the question then remains where I can find a program where Charm is calculated? More... Take a look at The Complete Guide to Option Pricing Formulas http://www.amazon.com/Complete-Guid...dp/0071389970/ref=ed_oe_h/102-6586210-0500134 The code is shown in Excel VBA.
