OPEN-SOURCE SCRIPT
Boness 1964 Option Pricing Formula [Loxx]
Boness 1964 Option Pricing Formula [Loxx] 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 is the expected rate of return to the asset.
Analytical Greeks
Inputs
S = Stock price.
X = Strike price of option.
T = Time to expiration in years.
r = Expected Rate of Return
v = Volatility of the underlying asset price
cnd (x) = The cumulative normal distribution function
nd(x) = The standard normal density function
convertingToCCRate(r, cmp ) = Rate compounder
Things to know
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 is the expected rate of return to the asset.
Analytical Greeks
- Delta Greeks: Delta, DDeltaDvol, Elasticity
- Gamma Greeks: Gamma, GammaP, DGammaDvol, Speed
- Vega Greeks: Vega , DVegaDvol/Vomma, VegaP
- Theta Greeks: Theta
- Probability Greeks: StrikeDelta, Risk Neutral Density, Rho Expected Rate of Return
Inputs
S = Stock price.
X = Strike price of option.
T = Time to expiration in years.
r = Expected Rate of Return
v = Volatility of the underlying asset price
cnd (x) = The cumulative normal distribution function
nd(x) = The standard normal density function
convertingToCCRate(r, cmp ) = Rate compounder
Things to know
- Only works on the daily timeframe and for the current source price.
- You can adjust the text size to fit the screen
Open-source script
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Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Public Telegram Group, t.me/algxtrading_public
VIP Membership Info: patreon.com/algxtrading/membership
VIP Membership Info: patreon.com/algxtrading/membership
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.