Financial Calculators
Bivariate Normal Distribution Calculator
Bond Price, Duration and Convexity Calculator
Calculator of Call and Put Option Prices under the assumption of a Mean Reverting Geometric Brownian Motion
Calculator of Implied Volatilities under the assumption of a Mean Reverting Geometric Brownian Motion
‘Greeks’ Calculator when the underlying follows an Arithmetic Brownian Motion
‘Greeks’ Calculator when the underlying follows a Geometric Brownian Motion
‘Value at Risk’ Calculator
‘First To Default’ Option Calculator: A Copula Approach. Click here for a description of the program.
January 7, 2009 at 4:57 pm
Dr. Razvan Pascalau,
(This email is following one sent to rpascala@cba.ua.edu.)
First of all, I would like to say that I am very impressed by your work, as I reviewed your University of Alabama website this morning and used your on-line “Greeks” Calculator yesterday.
I am working on a personal project of building an Black-76 options model from scratch in MS Excel. So far, the model is yielding the same call & put price, Delta, Gamma and Theta values as those of your calculator. My Vega values appear to be the same except that they are 4 decimal places higher than your values. My Rho values are not matching yours and they are also 4 decimal places higher than your values.
Would you please be so kind as to provide the parametric/analytic formulas for Vega and Rho (for calls & puts) used in your on-line model? I would really appreciate your help.
Sincerely,
Anthony O. Sexton
anthonys9286@sbcglobal.net
c: 832-752-2900
April 15, 2009 at 2:51 pm
After reading through the article, I just feel that I really need more information on the topic. Could you share some resources please?