royabitbol
New Member
Payback .. ;)
Hi Andy and all the rest of the gang..
Many thanks for your thorough work. You've saved me A LOT of time and hassle in my quest for the Greeks formulas.
My 2 cents of payback is a small improvement on the Implied Volatility calculation. I had the feeling that the number of iteration in andy's code was relatively high for the desired accuracy (mostly around deozens and sometimes reaching out to the hundreds).
Thanks to Haug's "Complete Guide to Option Pricing Formulas" I found a slightly better algorithm which seems to do the work in no more than 5 iterations.
Attached you can find a snippet of C# code with the modified blsimpv(..) method. You can copy and paste it instead of the original one from Andy's code.
Cheers,
Roy
Hi Andy and all the rest of the gang..
Many thanks for your thorough work. You've saved me A LOT of time and hassle in my quest for the Greeks formulas.
My 2 cents of payback is a small improvement on the Implied Volatility calculation. I had the feeling that the number of iteration in andy's code was relatively high for the desired accuracy (mostly around deozens and sometimes reaching out to the hundreds).
Thanks to Haug's "Complete Guide to Option Pricing Formulas" I found a slightly better algorithm which seems to do the work in no more than 5 iterations.
Attached you can find a snippet of C# code with the modified blsimpv(..) method. You can copy and paste it instead of the original one from Andy's code.
Cheers,
Roy
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