for "Fisher" read "Fischer"
Nick
[email protected]
Eric G. Wruck
> However, I would bet Joserra is asking about a method for
> estimating the value of options as devised by Fisher Black
> (now deceased) & Myron Scholes sometime in the 1970s.
>
> So Joserra, you would be well advised to get a better handle
> on the Black-Scholes formula & obtain some data. If you have
> the option prices & terms (strike price, time to maturity,
> risk-free rate, dividend rate) then you should be able to get
> an estimate of the stock volatility. This would be the
> volatility implied by the option price & other known or
> estimated variables. Once you have gotten your data into
> Stata & struggled some with the inevitable difficulties, feel
> free to write again with more detailed --as opposed to
> open-ended-- questions.
Joserra Coco
> Does anybody know whether there is some command or code
> for calculating
> implied volatilities in the Black Scholes model?. Thanks
> for any info.
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