5 Replies Latest reply: Jun 13, 2014 1:20 PM by Rodrigo Faus

# Option Price Calculator

Hello Qliksters

After seeing a question today on greek calculations in Qlik, I became curious, and knocked up the attached option pricing dashboard.

I did notice a price difference from that I derived, and that of the built-in blackscholes function, which whilst small, should be examined further.

The dashboard includes the following 1st and 2nd order greeks for both Calls and puts

- Delta

- Gamma

- Theta

- Vega

I have tried to use variable functions where posible, so that it may be reused.

Assumptions

- Pricing for european options

- dividends are noted as continuous divident yields.

Interested in any feedback. I will try next to put together a quick binomial model to accommodate american options with discreet dividends. The attached is appropriate for pricing options on indexes, which are typically european with div yields.

Attachments

- Greeks.qvw

- Option pricing.pdf (formula sheet from recent risk management exam)

Enjoy,

Stu Ward

• ###### Re: Option Price Calculator

Hi Stuart!

Nice app. But how can I program QlikView to calculate Rho of an option? The Gamma and Vega of an option have the same coefficient?

Thanks,

Rodrigo

• ###### Re: Option Price Calculator

Hi Stuart,

I think I got how to get the Rho of an option.

But my other questions still on.

Thanks,

Rodrigo

• ###### Re: Option Price Calculator

Hi Rod,

Nice effort in acheiving Rho calc. Do add to my qvw and repost.

When pricing options, the Gamma and Vega and the same for calls and puts. I stretched the area for these measures to reflect this. If you read the attached option pricing (and search for gamma/vega), you will see that the two are the same.

• ###### Re: Re: Option Price Calculator

Hi Stuard,

It is attached your app + the Rho.

I think it is correct.

• ###### Re: Option Price Calculator

Stuart,

What about if I want to find the Greek letters of a portfolio with many assets?

For example, If I want to know the Delta of a portfolio of 5 different assets? Should I just multiply each Delta by the weight of each asset and add afterwards?

Thanks,

Rodrigo