Option Procedures

Instructions:

These procedures can be downloaded individually, or together as one zip file: options.zip . Place all files (including declaration files ending in ".dec") into your "/gauss/src" directory.

Individual Programs:

genoptfit.g & genoptfit.dec Procedure and necessary declaration file to calculate fitted option prices using Fourier Inversion methods as in Bates (RFS 1996). This allows for a variety of possible risk neutral diffusions which can accommodate stochastic volatility, jumps, as well as correlation between the volatility process and underlying asset.
ameriv.g & ameriv.dec Procedure and necessary declaration file to calculate implied volatilities of a set of AMERICAN option quotes using a Newton Raphson type Method, and an analytical approx. to American option prices as in Barone-Adesi and Whaley.

euriv.g Procedure to calculate implied volatilities of a set of European option quotes using a Newton Raphson type Method. (See ameriv.g above for American equivalent)

amerval.g & amerval.dec Procedure and necessary declaration file to price American put or call options using analytical approximations as in Barone-Adesi and Whaley see also: ameriv.g above

bsval.g Procedure to obtain Generalized Black Scholes prices allowing for a variety of cost-of-carry scenarios, and implied volatility values which can be "smile" dependent.

optdcode.g Procedure to obtain numerical expiration month, and strike price (negative for puts) based on ticker letter symbols.

payoff.g & payoff.dec Procedure and necessary declaration file to obtain payoff,profit and return profiles to various option strategies, which depend upon value of underlying at expiration.

payoffad.g & payoffad.dec Same as payoff but with advanced features for estimating payoffs and returns to calender spreads etc. Allows for strategies which involve one or more options to be liquidated on or before expiration. Requires implied volatilities be a deterministic function of the asset price at that time.

Last modified: 1/1/2003