Anthony's VBA Forum

[cupidlay2004]

I have a question about the Example http://www.excel-modeling.com/examples/example_013.htm

I tried those exact numbers in some on-line calculators and turns out the values of Theta, Vega,and Rho are significantly different than the numbers in the example. I honestly do not have that much knowledge in Black-Scholes yet, but I wonder why?

I will be looking forward to the reason why.

Thanks,
Kevin

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On 8/18/06, Anthony wrote:

Hi Kevin,

The outputs were tested against the outputs from the CBOE website, http://www.cboe.com, and they matched. Would that be enough of an info. for you?

Anthony
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From: Kevin Aung
Sent: Friday, August 18, 2006 7:49:36 PM

Thanks very much for the reply in such short notice. Yes, I tried those inputs in different projects and some of them agree with the values and some don,t. here's one
http://www.numa.com/derivs/ref/calculat/option/calc-opa.htm

I used the equations of the example and worked the calculations with my programming skill and I got the same values as numa would give. (I spent big time on solving those equation and assume there's no errors).

I assume those two calculators are giving the right values but there must be some alternation on calculating Theta, Vega, and Rho.

what strange to me is The values of Call option, Delta and Gamma are the same.
I may be asking a little out of the range that a support desk could offer and I do appreciate the help.
Thanks in advance,
~kevin
p.s. I am a research student currently working on Black-Scholes Models.
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On 8/18/06, Anthony

The website that I sent you is the places where all the options are regulated. They cannot go wrong. We did not derive the formulas, they are the product from our research. We did get the same program that you have and we also tried to compare our result with other websites and had the similar experience as you do, but we overcome it. The formulas that we got should be correct. The problem may lay on the input that you used. Make sure you use an annualized standard deviation and interest rate and stick your comparison with CBOE (since they are the authority).

Anthony
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From: Kevin Aung
Sent: Wednesday, August 23, 2006 6:19 PM

Anthony, I just wanna say thanks for the help about last week. I finally found the solution to my problem and I think i'd like to share. It' not that annualized compounded risk free interest rate or the inputs that we thought they could be making problems. It's just that the interprection of the values - my results represent per year and their results represent per day accordingly. For Example, my Theta is - 0.80008 for a year and if one day passes (0.2739% of a year...assuming 365 days a year), the option could change by -0.80008*0.2739 = -0.002 ....So yeah! it uses the same for Rho and Vega....

Have a nice day.

~Kyaw
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On 8/23/06, Anthony wrote:

Thank you for your sharing, Kevin. In such case, does the output from our http://www.excel-modeling.com/examples/example_013.htm example matches with yours?

Anthony

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From: Kevin Aung
Sent: Wednesday, August 23, 2006 6:39 PM

Yes, it does. here are my outputs for Europe "put option". (some numbers rounded-up).

Price = 100, EX price= 95, Time = 0.25 yrs, Interest Rate= 6%, Standard deviation = 15%, divident yield = 0.0

BlackScholesCalculator.calculateOptionValue = 0.7581371727724253

Delta = -0.1784180314614694

Gamma = 0.03479295716084488

Theta = -0.007665623222206462

Vega = 0.1304735893531683

Rho1 = -0.04649985079729842

Rho2 = 0.04460450786536732

~Kyaw Aung (a) Kevin