Re: BlackScholes on HP 17BII, 19BII Message #2 Posted by tony on 25 Feb 2004, 7:06 p.m., in response to message #1 by Bob Wang
Excellent work Bob! In DataFile V22N3 pp1321 I did a BS article about the 12C but included this version for the 17bii which uses a simplified form of the approximation you use:
=========snippet from DataFile =================
This equation is 15% shorter than the one on the HP page and
produces answers 20 times more accurate:
{BLK.SCHLSif(S(PUTV):PS+PE*EXP(RF%*T/100)+0*S+CALLVPUTV:
0*L(D5:(LN(PS/PE)+(RF%/100+S^2/2)*T)/S/SQRT(T))
*L(D6:G(D5)S*SQRT(T))
*L(D1:1/(1+ABS(G(D5)/3.006)))
*L(D2:1/(1+ABS(G(D6)/3.006)))
+PS*ABS(IF(G(D5)<0;0;1)+
EXP(G(D5)^2/2)*G(D1)*(((187*G(D1))24)*G(D1)+87)/500)
PE*EXP(RF%*T/100)*ABS(IF(G(D6)<0:0:1)+
EXP(G(D6)^2/2)*G(D2)*(((187*G(D2))24)*G(D2)+87)/500)
CALLV)}
==============================
There is another version for the 17bii as well that enables resolving for the any of the 5 inputs, including the implied volatility. This one above could even be shortened again but accuracy suffers a little.
For DataFile, see www.hpcc.org
