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OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods

Author

Listed:
  • Abdulnasser Hatemi-J

    (UAE University)

  • Alan Mustafa

    (IEEE)

Programming Language

GAUSS

Abstract

Options as derivative securities are regularly used by investors and financial institutions. The crucial issue within this context is to determine the fair price of an option. The Black and Scholes (1973) model is regularly used for this purpose. El-Khatib and Hatemi-J (2017) provide a model that can be useful for option pricing during a financial crisis. This Gauss module calculates the premium for the European call and put options using these two mentioned alternative models. In addition, it calculates the price sensitivities (i.e. the Greeks) based on both models. For technical descriptions see (1) Black F. and Scholes M. (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3), 637-654. (2) El-Khatib, Y. and Hatemi-J, A. (2017), Option valuation and hedging in markets with a crunch, Journal of Economic Studies, 44(5), 801-815.

Suggested Citation

  • Abdulnasser Hatemi-J & Alan Mustafa, 2021. "OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods," Statistical Software Components G00018, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00018
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/o/optvtam.txt
    File Function: program code
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    Keywords

    option pricing; call; put; GAUSS;
    All these keywords.

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