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

    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