Where to find American calculations for Black-Scholes

[deltastrike]

I have a large VBA library that you can use as a template, if you want.

Shoot, I'll take that.

 

[Derrenoption]

For symbol CSCO, I am trying out the C# code found here: http://www.risk256.com/code/Options.cs
I call the THETA function:

//Current information!
double dividendyield = 0.0328;
double riskfreerate = 0.0024;
double stockprice = 30.35;
double strikeprice = 32;
double yearsexpiration = (double)30 / (double)365; //18 NOV 16 Expiration
double knownoptionprice = (1.83 + 1.87) / 2;

double vol = Formulas.Formulas.BlackScholesImpliedVol(knownoptionprice, strikeprice, stockprice, yearsexpiration, riskfreerate, dividendyield, Formulas.Formulas.PutCallFlag.Put);

double theta = Formulas.Formulas.BlackScholesTheta(strikeprice, stockprice, yearsexpiration, vol, riskfreerate, dividendyield, Formulas.Formulas.PutCallFlag.Put);

I return this value: -3.077

When looking in TOS in the PUT column(Theta value) for strike 32, I find: -0.01

If -3.077 is the % value, it would be calculated like this:
-0.0377 * ((1.83 + 1.87) / 2) = -0.0697

I wonder if -0.0697 is ment to be the theta value/day. It is a very big difference vs TOS?

 

[gowthamn]

Shoot, I'll take that.

Can you send me the code as well?

 

[gowthamn]

Any update on this? I am looking for it as well. I am interested in 2nd order derivatives like Vanna and Vomma as well.

 

[jamesbp]

I have a large VBA library that you can use as a template, if you want.

That would be really useful.

I use the formula provided by Espen Haug's for European Options with Skew/Kurtosis to calibrate ... but he doesn't provide a similar formula for American Options

 

[stevegee58]

Just convert the C# code I linked earlier to VBA. The algorithms just aren't that complicated.