What's going on with the Scholes thing?
I've just read a question on this same thread about any Mid better than Modric and 1 on 2 responses were about Scholes being better or ultra overrated...
Am kind of a naive guy and can't that much identify a troll. Were those any trolls?
Please, I really wanted to know..
Hello all,
Recently I have decided to build out a spreadsheet in Excel that predicts the fair price of a call option. The goal of this is to be able to compare my estimated price of the call to its actual price. The reason I did this was to try to find any options that may be under their fair value and can potentially return the most value.
This model is based off the Black Scholes model and is how I arrived at my โcall priceโ and โput priceโ estimates. Does anyone have any experience or results from using this model? If so, how did it perform?
Furthermore, I was doing some reading about people modifying the formula to make it more accurate in current market conditions. Has anyone tried to modify this formula and achieved better results? If so, what did you modify and what was your reasoning behind it?
All of the data in this model is static, as I copied it from an options chain last week. Once I get some feedback from you guys and refine the model, I will start to bring in live data and monitor its performance (and maybe do some back testing).
Anyways, I will give a quick explanation on each side of this sheet (calls and puts), and the reasoning behind these column.
Yellow Highlighted Box: This box will automatically load the stockโs options chain when I change the ticker (once I integrate the data). Furthermore, the stock price will load automatically (which is used throughout the calculation of the Black Scholes model(s). Furthermore, I will integrate a function that allows you to choose the different expirations (and the corresponding options chain will load) and the days to expiry will change as well. The days to expiry is based off of trading days, and is divisible by 252 when getting the time value for the Black Scholes model (due to there being 252 trading days in a year). Lastly, the risk-free rate will be pegged to the 10-year US Treasury rate, as that is often considered as the โrisk free rateโ.
Here is the images to help you (1st is the Black-Scholes Model for reference) (2nd is my own (tweaked) model).
https://preview.redd.it/besc5pxc9qb81.png?width=499&format=png&auto=webp&s=e7223355bd156f8172c385b39e64e7ac1bce2d4b
https://preview.redd.it/nh6fypxc9qb81.png?width=1858&format=png&auto=webp&s=4fa723debf919dc530ee76ceb9a1b9a24d691ba9
Options Chain Column I โ Column O: This is just a standard options chain for Toyota Motors ($TM). I copied this options chain on January 8th, when there were 10 days to t
... keep reading on reddit โกBlack-Scholes-Merton model uses Volatility, Stock price, Strike price, Time to expiration, and Risk-Free rate as a predictor for Option pricing.
I feel that Zoom is overvalued as hell. It is a stupid Video calling software with a market cap of $75 Billion. Earnings are going to make this stock go drop down to Earth's core.
When using the following parameters: Volatility: 50%, Stock price: 250, Strike price: 245, Time to expiration: 8 days, and Risk-Free rate: 2%, I should be paying only $5.86 for my Zoom Puts, but I am paying almost double instead $11 bucks on last Friday.
So, why is there a discrepancy in the pricing here? As per our founding father Apes, Fischer Black, Robert Merton, and Myron Scholes and their wonderful formula, the price should have been half of what we are paying.
Been having a debate with my friend for weeks on who the better player was, Scholes or Lampard. I say Scholes, he thinks Lampard.
Let's try and settle this once and for all.
Who was the better player, Paul Scholes or Frank Lampard?
EDIT: He also thinks Chillwell is a better player than Luke Shaw, which I disagree with, opinions on that?
