Волатильность

loxx

The Jennergren and Naslund (1993) formula takes into account that an employee or executive often loses her options if she has to leave the company before the option's expiration: (via "The Complete Guide to Option Pricing Formulas") c = e^(-lambda*T) * (Se^((b-r)T) * N(d1) - Xe^-rT * N(d2)) p = e^(-lambda*T) * (Xe^(-rT) * N(-d2) - Se^(b-r)T * N(-d1)) where ...

loxx

Handley (2001) describes how to value variable purchase options (VPO). A VPO is basically a call option, but where the number of underlying shares is stochastic rather than fixed, or more precisely, a deterministic function of the asset price. The strike price of a VPO is typically a fixed discount to the underlying share price at maturity. The payoff at maturity...

chhslai

Crypto-DX can be used to help measure the overall strength and direction of the crypto market trend. Furthermore, it can be used as a screener to find out cryptocurrencies which are accumulating momentum and tends to potentially pump or dump. How this indicator works : If the Crypto-DX cross above the zero-level, it could be an indication that there is a...

OrcChieftain

Market protraction, as defined by ICT, is a time-specific reoccurring impulse move in forex markets. It is designed for market manipulation and will go in the opposite direction of the following trend. My indicator will add a shape above/below the candle if it fits the time criteria. I recommend to watch: ICT Mentorship Core Content - Month 1 - Impulse Price...

loxx

Perpetual American Options is Perpetual American Options pricing model. This indicator also includes numerical greeks. American Perpetual Options While there in general is no closed-form solution for American options (except for non-dividend-paying stock call options) it is possible to find a closed-form solution for options with an infinite time to...

loxx Обновлено 

American Approximation Bjerksund & Stensland 2002 is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel. The Bjerksund & Stensland (2002) Approximation The Bjerksund and Stensland (2002) approximation...

loxx Обновлено 

American Approximation Bjerksund & Stensland 1993 is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel. The Bjerksund and Stensland (1993) approximation can be used to price American options on stocks,...

loxx Обновлено 

American Approximation: Barone-Adesi and Whaley is an American Options pricing model. This indicator also includes numerical greeks. You can compare the output of the American Approximation to the Black-Scholes-Merton value on the output of the options panel. An American option can be exercised at any time up to its expiration date. This added freedom...

priceprophet Обновлено 

True Average Period Trading Range (TAPTR) The J. Welles Wilder Average True Range calculation includes the ability to calculate in gaps into the equation. It is in my opinion that gaps are untraded range values until the prices on their own come back and close the gaps. The TAPTR calculation is simple, it is the average for a set period of time of the HIGH -...

loxx

Samuelson 1965 Option Pricing Formula is an options pricing formula that pre-dates Black-Scholes-Merton. This version includes Analytical Greeks. Samuelson (1965; see also Smith, 1976) assumed the asset price follows a geometric Brownian motion with positive drift, p. In this way he allowed for positive interest rates and a risk premium. c = SN(d1) * e^((rho...

ForgedOblivious

Volume Volatility Indicator vol: volume; vma: rma of volume Cyan column shows (vol - vma)/vma, if vol > vma else shows 0 0 value means vol less than vma: good for continuation 0 < value < 1 means vol more than vma: good for trend value > 1 means vol more than 2 * vma: good for reversal tr: truerange; atr: averagetruerange Lime column show -(tr - atr)/atr, if tr...

loxx

Boness 1964 Option Pricing Formula is an options pricing model that pre-dates Black-Scholes-Merton. This model includes Analytical Greeks. Boness (1964) assumed a lognormal asset price. Boness derives the following value for a call option: c = SN(d1) - Xe^(rho * T)N(d2) d1 = (log(S / X) + (rho + v^2 / 2) * T) / (v * T^0.5) d2 = d1 - (v * T^0.5) where rho...

loxx

Generalized Black-Scholes-Merton on Variance Form is an adaptation of the Black-Scholes-Merton Option Pricing Model including Numerical Greeks. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options using variance instead of volatility. Black- Scholes- Merton on Variance Form In some...

loxx

Asay (1982) Margined Futures Option Pricing Model is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures where premium is fully margined. This...

loxx

Black-76 Options on Futures is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version is to price Options on Futures. The options sensitivities (Greeks) are the partial derivatives...

loxx

Garman and Kohlhagen (1983) for Currency Options is an adaptation of the Black-Scholes-Merton Option Pricing Model including Analytical Greeks and implied volatility calculations. The following information is an excerpt from Espen Gaarder Haug's book "Option Pricing Formulas". This version of BSMOPM is to price Currency Options. The options sensitivities...

The_Peaceful_Lizard

True Range Score: This study transforms the price similar to how z-score works. Instead of using the standard deviation to divide the difference of the source and the mean to determine the sources deviation from the mean we use the true range. This results in a score that directly relates to what multiplier you would be using with the Keltner Channel. This is...

The_Peaceful_Lizard Обновлено 

This version of Keltner Channels take measures the average volatility. By taking the 75th percentile of the average absolute value of the difference between the Source and the Mean divided by the True Range and using that as our multiplier for our Keltner Channels we can have a statistically safe trading zone. You notice that its dynamic, this is because it take...