Uri,
I have misplaced my copy of John Murphies book on TA... I believe it is in there... I coded it on my old TRS80-100 (the first laptop). What I remember was it was complex as all get out and combined time, price, volatility, and a population model (the bell-shaped curve) to come up with the pricing of puts and calls. I still have it on my old computer but have given in to the MetaStock 6.0 OptionScope which figures such things out for you. In fact, if you put todays values in for an option, it will give the implied volatility. Then by copying it to a new column, just by changing the date, you can get the approximate decay, etc. Also gives delta, theta etc,etc,etc. It is very useful for playing "what-if" games where you estimate the future price of the stock or index and then calculate what the option should be worth.
Am I playing to the choir?
Regards,
Bill |
