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st: Combing Variables
From
Ferdinand Siagian <[email protected]>
To
[email protected]
Subject
st: Combing Variables
Date
Wed, 27 Apr 2011 15:24:54 -0400
Hi,
I would like to create a program to calculate Black-Scholes Stock Option
Value model. The value depends on several variables; stock price,
exercise price, standard deviation, time to maturity, and risk-free
rate. I can develop the formula to calculate the value of call option
using Stata but only for 1 amount for each input variable.
My question is, how to program Stata if I want to calculate call option
values using different amount of those input variables simultaneously?
The combinations can be too many to calculate the values one by one. Is
it possible?
For example (I simplify by including only 2 amounts for each input
variables),
Stock price is either $50 or $55.
Exercise price is either $65 or $70.
Standard deviation is either 0.25 or 0.30.
Time to maturity is 6 months or 12 months.
Risk-free rate is 0.5% or 0.75%.
What command should I use? Thank you very much for the help.
Ferdi
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