28 September 2009 #1 B bucket183 Joined 8 June 2009 Posts 24 Reactions 0 Does anyone know how the fair value of options is calculated?
28 September 2009 #2 mazzatelli Joined 22 July 2009 Posts 602 Reactions 0 Popular models for TheoVal are BSM and Binomial steps. Are you interested in theory, or are you actually after a calculator?
Popular models for TheoVal are BSM and Binomial steps. Are you interested in theory, or are you actually after a calculator?
28 September 2009 #3 B bucket183 Joined 8 June 2009 Posts 24 Reactions 0 I guess I am after something that I can put into excel to estimate what a the call will be worth in future (short term).
I guess I am after something that I can put into excel to estimate what a the call will be worth in future (short term).
28 September 2009 #4 wayneL VIVA LA LIBERTAD, CARAJO! Joined 9 July 2004 Posts 26,606 Reactions 14,336 It would entail inputting the correct future realized volatility into whatever model you're using. Got a crystal ball? Fair value is subjective.
It would entail inputting the correct future realized volatility into whatever model you're using. Got a crystal ball? Fair value is subjective.