Cookies help us display personalized product recommendations and ensure you have great shopping experience.

By using this site, you agree to the Privacy Policy and Terms of Use.
Accept
SmartData CollectiveSmartData Collective
  • Analytics
    AnalyticsShow More
    sales and data analytics
    How Data Analytics Improves Lead Management and Sales Results
    9 Min Read
    data analytics and truck accident claims
    How Data Analytics Reduces Truck Accidents and Speeds Up Claims
    7 Min Read
    predictive analytics for interior designers
    Interior Designers Boost Profits with Predictive Analytics
    8 Min Read
    image fx (67)
    Improving LinkedIn Ad Strategies with Data Analytics
    9 Min Read
    big data and remote work
    Data Helps Speech-Language Pathologists Deliver Better Results
    6 Min Read
  • Big Data
  • BI
  • Exclusive
  • IT
  • Marketing
  • Software
Search
© 2008-25 SmartData Collective. All Rights Reserved.
Reading: Options Pricing Using SAS
Share
Notification
Font ResizerAa
SmartData CollectiveSmartData Collective
Font ResizerAa
Search
  • About
  • Help
  • Privacy
Follow US
© 2008-23 SmartData Collective. All Rights Reserved.
SmartData Collective > Uncategorized > Options Pricing Using SAS
Uncategorized

Options Pricing Using SAS

JiangtangHu
JiangtangHu
3 Min Read
SHARE

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:

  • Black-Scholes model,the traditional stock options pricing model, see Fischer Black and Myron Scholes (1973) ;
  • Black model,extension of Black-Scholes model on futures option (also called Black-76 model),see Fischer Black(1976);
  • Garman-Kohlhagen model,pricing model on foreign currency options,see Mark Garman and Steven Kohlhagen(1983) ;
  • Margrabe model,on exchange options,see William Margrabe(1978).
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…

More Read

4 Tips for Moving Away from Single-Source IT Companies
Do You Think Social Media Will be Outsourced?
The lesson of the Palace of Culture and Science
New Website for ‘the architecture formerly known as SOA’
Facebook estimates $350 million in 2009 from Performance Advertising

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:

  • Black-Scholes model,the traditional stock options pricing model, see Fischer Black and Myron Scholes (1973) ;
  • Black model,extension of Black-Scholes model on futures option (also called Black-76 model),see Fischer Black(1976);
  • Garman-Kohlhagen model,pricing model on foreign currency options,see Mark Garman and Steven Kohlhagen(1983) ;
  • Margrabe model,on exchange options,see William Margrabe(1978).
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/

del.icio.us Tags: SAS,Base,ETS,SAS9.2,Financial Functions,Options,Call,Put,Pricing,Black-Scholes model,Black model,Black-76,Garman-Kohlhagen model,Margrabe model,Futures Option,Stock Option,Currency Option,Exchange Option,Financial Engineering

Share This Article
Facebook Pinterest LinkedIn
Share

Follow us on Facebook

Latest News

sales and data analytics
How Data Analytics Improves Lead Management and Sales Results
Analytics Big Data Exclusive
ai in marketing
How AI and Smart Platforms Improve Email Marketing
Artificial Intelligence Exclusive Marketing
AI Document Verification for Legal Firms: Importance & Top Tools
AI Document Verification for Legal Firms: Importance & Top Tools
Artificial Intelligence Exclusive
AI supply chain
AI Tools Are Strengthening Global Supply Chains
Artificial Intelligence Exclusive

Stay Connected

1.2kFollowersLike
33.7kFollowersFollow
222FollowersPin

You Might also Like

A Great CTO and Pot Shots from the Peanut Gallery

3 Min Read

One Step Away

3 Min Read

Solving your application and data integration challenges

3 Min Read

Top Technology Considerations When Opening a New Office

5 Min Read

SmartData Collective is one of the largest & trusted community covering technical content about Big Data, BI, Cloud, Analytics, Artificial Intelligence, IoT & more.

AI and chatbots
Chatbots and SEO: How Can Chatbots Improve Your SEO Ranking?
Artificial Intelligence Chatbots Exclusive
ai is improving the safety of cars
From Bolts to Bots: How AI Is Fortifying the Automotive Industry
Artificial Intelligence

Quick Link

  • About
  • Contact
  • Privacy
Follow US
© 2008-25 SmartData Collective. All Rights Reserved.
Go to mobile version
Welcome Back!

Sign in to your account

Username or Email Address
Password

Lost your password?