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Boneesoptionspricingmodel

Boness 1964 Option Pricing Formula [Loxx]Boness 1964 Option Pricing Formula is an options pricing model that pre-dates Black-Scholes-Merton. This model includes Analytical Greeks. Boness (1964) assumed a lognormal asset price. Boness derives the following value for a call option: c = SN(d1) - Xe^(rho * T)N(d2) d1 = (log(S / X) + (rho + v^2 / 2) * T) / (v * T^0.5) d2 = d1 - (v * T^0.5) where rho is the expected rate of return to the asset. Analytical Greeks Delta Greeks: Delta, DDeltaDvol, Elasticity Gamma Greeks: Gamma, GammaP, DGammaDvol, Speed Vega Greeks: Vega , DVegaDvol/Vomma, VegaP Theta Greeks: Theta Probability Greeks: StrikeDelta, Risk Neutral Density, Rho Expected Rate of Return Inputs S = Stock price. X = Strike price of option. T = Time to expiration in years. r = Expected Rate of Return v = Volatility of the underlying asset price cnd (x) = The cumulative normal distribution function nd(x) = The standard normal density function convertingToCCRate(r, cmp ) = Rate compounder Things to know Only works on the daily timeframe and for the current source price. You can adjust the text size to fit the screen
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