An Analysis of Option Pricing Models Charles Vu 2002-2003 Iteration 2-1

Date: 11/06/02 - 11/21/02
Plan:

• To make a program which calculates the Black-Scholes value
• Have an input program so that the user can input a ticker symbol
• Take the HTML Code, and keep only the pertinent stock data

Design:

• Code the general option class
• Code the Black-Scholes formula
• Formula involves normal CDF, so Riemann integrals necessary

Code:

• C++ will be the primary coding language
• Black-Scholes page code

Testing and Development:

• Input values: 50 50 .1 .04 .44
  • My Program: 2.8579
  • Actual Price: 2.8857
• Input values: 50 45 .1 .04 .44
  • My Program: 5.3181
  • Actual Price: 6.0019
• Input values: 50 55 .1 .04 .44
  • My Program: 0.76770
  • Actual Price: 1.1326
• Clearly, there is some error in my program. I will have to debug my code to correct the error. I initially believed that the error is likely in the CDF function, but I have debugged the CDF function and found no error. I will likely spend Iteration 6 combing through my code to find the error.

Assignments First Quarter