Options Pricing Using SAS

February 5, 2009
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There are some new financial functions in SAS9.2 Base, including 8 options pricing functions(formerly in SAS Risk Dimension). These functions can compute the price of both call and put options on different underlying assets (stock, futures, currency, and exchange asset), using the following models respectively:

Model Underlying Call Put
Black modelFuturesBLACKCLPRCBLACKPTPRC
Black-Scholes modelStockBLKSHCLPRCBLKSHPTPRC
Garman-Kohlhagen modelCurrencyGARKHCLPRCGARKHPTPRC
Margrabe modelExchangeMARGRCLPRCMARGRPTPRC

  • BLACKCLPRC: calculates the call price for European options on futures, based on the Black model.
  • BLACKPTPRC: calculates the put price

There are some new financial functions in SAS9.2 Base, including 8 options pricing functions(formerly in SAS Risk Dimension). These functions can compute the price of both call and put options on different underlying assets (stock, futures, currency, and exchange asset), using the following models respectively:

Model Underlying Call Put
Black modelFuturesBLACKCLPRCBLACKPTPRC
Black-Scholes modelStockBLKSHCLPRCBLKSHPTPRC
Garman-Kohlhagen modelCurrencyGARKHCLPRCGARKHPTPRC
Margrabe modelExchangeMARGRCLPRCMARGRPTPRC

  • BLACKCLPRC: calculates the call price for European options on futures, based on the Black model.
  • BLACKPTPRC: calculates the put price for European options on futures, based on the Black model.
  • BLKSHCLPRT: calculates the call price for European options, based on the Black-Scholes model.
  • BLKSHPTPRT: calculates the put price for European options, based on the Black-Scholes model.
  • GARKHCLPRC: calculates the call price for European options on currencies, based on the Garman-Kohlhagen model.
  • GARKHPTPRC: calculates the put price for European options on currencies, based on the Garman-Kohlhagen model.
  • MARGRCLPRC: calculates the call price for European options on exchange assets, based on the Margrabe model.
  • MARGRPTPRC: calculates the put price for European options on exchange assets, based on the Margrabe model.

For more,see SAS9.2 online help,Functions and CALL Routines by Category: Financial
http://support.sas.com/documentation/cdl/en/lrdict/59540/HTML/default/a000245860.htm

Note: A good web site for options pricing with different models, http://www.montegodata.co.uk/