APL2 implementation of numerical asset pricing models
APL '88 Proceedings of the international conference on APL
Efficient evaluation of the area under the normal curve
APL '88 Proceedings of the international conference on APL
| Hi-index | 0.00 |
This paper describes a decision-support system written in APL and implemented on a Personal Computer. The purpose of the system is to assist in the management of a portfolio of stock and commodity options, so that exposure to risk will be detected as early as possible and corrective action can be effected. The system incorporates an extended version of the Black-Scholes stochastic model for determining the fair value for an option price and its sensitivity, based on the variables stock and option exercise prices, time, interest rate, and stock price volatility. Option prices and 'deltas' are computed for a range of these variables and saved in an APL database from which they are later combined with stock position information to produce tabular and graphical output showing risk exposure across the dimensions of stock price change and the passage of time.