I took a code snippet I found here: https://gist.github.com/achvaicer/59824 ... 645e96f8ac by achvaicer and implemented it as an indicator for MultiCharts.
It's not perfect. It doesn't agree with my Interactive Brokers model 1-to-1 If someone has a nice tweak for it, please feel free to share.
Supports at the money or fixed strike.
Black Scholes
Re: Black Scholes
Excellent !!!!!!! This is a good idea !!!!
This is awesome !!!!!!!!!!!!!!!!!!!!!
If we had the Interactive formula, it would be possible to compare.
If the difference is small , it could be because of difference of variable , e.g : single variable in one calculus and double in another calculus for the same variable.
This happen often.
Thank you very much
:):)
This is awesome !!!!!!!!!!!!!!!!!!!!!
If we had the Interactive formula, it would be possible to compare.
If the difference is small , it could be because of difference of variable , e.g : single variable in one calculus and double in another calculus for the same variable.
This happen often.
Thank you very much
:):)Re: Black Scholes
IB use standard Black & Scholes for European options, and I believe also for American options.
Bjerksund-Stensland is a little more tricky on exercising conditions.
I have coded my own standalone platform and I'd be happy to help if anyone needs assistance with core code (not MC specific.
Bjerksund-Stensland is a little more tricky on exercising conditions.
I have coded my own standalone platform and I'd be happy to help if anyone needs assistance with core code (not MC specific.