The following warnings occurred:
Warning [2] Undefined array key 52386 - Line: 275 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 275 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52505 - Line: 275 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 275 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52507 - Line: 275 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 275 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52511 - Line: 275 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 275 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52632 - Line: 275 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 275 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined variable $thread - Line: 295 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 295 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Trying to access array offset on value of type null - Line: 295 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 295 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined variable $fid - Line: 295 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 295 errorHandler->error_callback
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52507 - Line: 331 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 331 errorHandler->error_callback
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 304 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52511 - Line: 331 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 331 errorHandler->error_callback
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 304 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined array key 52632 - Line: 331 - File: inc/plugins/threaded_mode.php PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php 331 errorHandler->error_callback
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 332 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 304 ThreadedMode::buildtree
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined variable $theme - Line: 3 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 3 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Trying to access array offset on value of type null - Line: 3 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 3 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined variable $theme - Line: 3 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 3 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Trying to access array offset on value of type null - Line: 3 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 3 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Undefined variable $lang - Line: 5 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 5 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks
Warning [2] Attempt to read property "messages_in_thread" on null - Line: 5 - File: inc/plugins/threaded_mode.php(305) : eval()'d code PHP 8.1.2-1ubuntu2.14 (Linux)
File Line Function
/inc/class_error.php 153 errorHandler->error
/inc/plugins/threaded_mode.php(305) : eval()'d code 5 errorHandler->error_callback
/inc/plugins/threaded_mode.php 305 eval
/inc/plugins/threaded_mode.php 23 ThreadedMode::showthread_threaded
/inc/class_plugins.php 142 threaded_mode_showthread_threaded
/showthread.php 918 pluginSystem->run_hooks





Black-Scholes on HP 17BII, 19BII



#3

I would appreciate anyone interested in option pricing on the 17BII and 19BII to try this modification of HP's program. It's a little more accurate, and is a bit smaller.

Modified Black-Scholes:
http://home.comcast.net/wsb-cgi-bin/ssi.cgi?PWPTool=HTMLView&State=False&wsbID=409909&GroupID=372953&Owner=bobwang&SiteID=1372814

HP's original version:
http://h20015.www2.hp.com/en/document.jhtml?lc=en&docName=bpia5179

Thanks,
Bob Wang


#4

Excellent work Bob! In DataFile V22N3 pp13-21 I did a B-S 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.SCHLS|if(S(PUTV):-PS+PE*EXP(-RF%*T/100)+0*S+CALLV-PUTV:
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


#5

ive always been peeved that neither the 17bii nor 19bii have UTPN (normal distribution). it would make this a lot easier.

#6

Thanks for the HPCC link. I'll have to get the CD with your articles. I do like the compactness of your approximation, I have to say that I'm impressed that Black-Scholes can fit on a 12C.

#7

Tony:

I tried your version for the upper tail and got very inaccurate results. Would you mind checking the routines N(d1) and N(d2)?
Thanks,

Bob


Possibly Related Threads…
Thread Author Replies Views Last Post
  Solver issue with HP 17BII - different from 19BII Jeff Kearns 13 4,475 11-28-2013, 02:36 AM
Last Post: Don Shepherd
  17BII & 17BII+ Discounted Payback Period Revisited Tom Neudorfl 8 2,809 11-25-2013, 10:28 AM
Last Post: Don Shepherd
  HP PRIME - Bode and Black plots - first attempt dg1969 0 1,028 10-20-2013, 01:32 PM
Last Post: dg1969
  Is the Prime a superset of the HP 17bII+ ? vrrr 3 1,571 10-16-2013, 12:03 PM
Last Post: Michael de Estrada
  hp 17bii+ dates calculation... JoePaul 6 2,341 07-14-2013, 11:32 AM
Last Post: Katie Wasserman
  HP-17bII+ emulator problem (TW?) fhub 7 2,288 06-23-2013, 09:57 AM
Last Post: Olivier De Smet
  HP-17bII+ Solve Compatibility Issues Robert Prosperi 7 2,819 04-22-2013, 10:11 PM
Last Post: Gerson W. Barbosa
  A very long HP-17BII equation Gerson W. Barbosa 22 5,204 04-19-2013, 12:37 AM
Last Post: Gerson W. Barbosa
  Creeping black pattern on HP-11C screen Larry Gagnon 6 2,017 04-12-2013, 10:09 AM
Last Post: Peter Murphy (Livermore)
  Trigonometric Functions (HP-17BII) Gerson W. Barbosa 2 1,601 04-09-2013, 11:57 PM
Last Post: Gerson W. Barbosa

Forum Jump: