An Analysis of Option Pricing Models Charles Vu 2002-2003 Iteration 2-3

Date: 01/06/03 - 01/21/03
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
• Debug the code from iteration 2-1

Code:

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

Testing and Development:

• Input values: 50 50 .1 .04 .44
  • My Program: 2.875
  • Actual Price: 2.869
• Input values: 50 45 .1 .04 .44
  • My Program: 5.984
  • Actual Price: 5.990
• Input values: 50 45 .1 .04 .44
  • My Program: 1.117
  • Actual Price: 1.118
• It appears that there is minimal error, likely due to the approximation of the Riemann integral

Assignments First Quarter