Black-Scholes on 17bII+ using Taylor series VERY ACCURATE! - Printable Version +- HP Forums ( https://archived.hpcalc.org/museumforum)+-- Forum: HP Museum Forums ( https://archived.hpcalc.org/museumforum/forum-1.html)+--- Forum: Old HP Forum Archives ( https://archived.hpcalc.org/museumforum/forum-2.html)+--- Thread: Black-Scholes on 17bII+ using Taylor series VERY ACCURATE! ( /thread-67706.html) |

Black-Scholes on 17bII+ using Taylor series VERY ACCURATE! - Bob Wang - 01-13-2005
Special Thanks to Tizedes Csaba for pointing me to the Taylor series approximation for the normal cumulative distribution. This implementation of Black-Scholes only works in the region where d1 and d2 are less than 3 in absolute value. If either d1 or d2 is greater than 3, 0 is returned for CALLV. Calculation time is well over a minute, but accuracy is basically to the last displayed decimal place! Note that the newer 17bII+ ROM has changed order of precedence, i.e. (-1^N) works on the older version, but has to be explicitly written as ((-1)^N) for the newer version. On a brighter note, the newer ROM is almost an order of magnitude faster at displaying equations, and opening the editing function. Also, replace * with multiply, and / with divide. Replace SIGMA with the sum operator found under the second screen of MORE Alpha characters. I apologize for the inconvenience, but I can't seem to get these characters to paste correctly. Bob Wang
PS=52 |