COMPUTER SYSTEMS RESEARCH
Code Writeup of your program, example report form 2009-2010

Your name: Aileen Wang, Period: 5

Date of this version of your program: 1/20

Project title: Black-Scholes

Describe how your program runs as of this version. Include

-- files that may be needed

-- algorithms, specific procedures or methods you wrote

-- kinds of input your program uses

-- screenshots, what kinds of output does your program have

-- does your program handle errors, or does it crash on errors of input?

-- tests: summarize the basic analysis and testing of this version of your program

Files needed: Internet access, volatility data is directly imported from Yahoo! Finance and then calculated within the spreadsheet

Algorithms: Black-Scholes formulas and model, volatility calculation, call and put values

Inputs: Web input of stock price @ date x; In addition, the Black-Scholes uses interest rate (pulled from US Treasury values) and time until maturity (countdown to a user-specified time)

Output: Numerical data (B-S call/put, volatility) but also graphical cues for visual analysis.

Errors: On errors of input the cell value will default to Error# or #.

Basic testing: Using historical data for Apple, Inc. (AAPL), static volatility and strike = stock price, B-S model generates a table of call and put values for 1 month.

What do you expect to work on next quarter, in relation to the goal of your project for the year?

In third quarter, I will definitely be looking into finding historical data for call and put values, then generating a graph of call/put of the model vs call/put of the actual performance. This will be done for graphs of different types of stock options (e.g. different industries, different financial circumstances, different price range or different beta value stocks).