software to valuate single share options, for BTCT.CO

stslimited

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Quote from: OmicronTheta on August 10, 2013, 10:47:24 AM

Application of Black-Scholes to these stocks is very tenuous at best. The are numerous assumptions in that model which don't apply here

the same with all other options pricing formulas?

the slippage in these markets would make all the other formulas give similar results

OmicronTheta

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Application of Black-Scholes to these stocks is very tenuous at best. The are numerous assumptions in that model which don't apply here

stslimited

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Quote from: dexX7 on August 10, 2013, 01:28:01 AM

Take a look at Black-Scholes. There are online calculators:

right I am open to using the black-scholes formula, doesn't the fact that I asked about volatility pricing kind of hint at that? other formulas get similar results to black-scholes too, and I'm open to using them too

thanks for the insight!

dexX7

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Take a look at Black-Scholes. There are online calculators:

http://www.mystockoptions.com/black-scholes.cfm

Some knowledge gathering would be nice, mine is limited.

Here is some data to play with:

Quote

Symbol: BTCGARDEN, Since: 03.08.2013 (7 days), N = 1430 (trades), Mean: 0.01609, Square: 0.00000, Volatility: 0.00072
Symbol: BTCGARDEN, Since: 11.07.2013 (30 days), N = 3145 (trades), Mean: 0.01607, Square: 0.00000, Volatility: 0.00055

Symbol: LABCOIN, Since: 03.08.2013 (7 days), N = 3317 (trades), Mean: 0.00149, Square: 0.00000, Volatility: 0.00018
Symbol: LABCOIN, Since: 11.07.2013 (30 days), N = 7189 (trades), Mean: 0.00192, Square: 0.00000, Volatility: 0.00065

Symbol: ACTIVEMINING, Since: 03.08.2013 (7 days), N = 1812 (trades), Mean: 0.00571, Square: 0.00000, Volatility: 0.00044
Symbol: ACTIVEMINING, Since: 11.07.2013 (30 days), N = 8274 (trades), Mean: 0.00634, Square: 0.00000, Volatility: 0.00133

Symbol: COGNITIVE, Since: 03.08.2013 (7 days), N = 136 (trades), Mean: 0.39382, Square: 0.00261, Volatility: 0.05109
Symbol: COGNITIVE, Since: 11.07.2013 (30 days), N = 1498 (trades), Mean: 0.63677, Square: 0.03166, Volatility: 0.17792
Symbol: COGNITIVE, Since: 12.05.2013 (90 days), N = 2490 (trades), Mean: 0.42228, Square: 0.09574, Volatility: 0.30942
Symbol: COGNITIVE, Since: 10.08.2012 (365 days), N = 3354 (trades), Mean: 0.32091, Square: 0.10075, Volatility: 0.31741

Symbol: BASIC-MINING, Since: 03.08.2013 (7 days), N = 447 (trades), Mean: 0.33758, Square: 0.00458, Volatility: 0.06769
Symbol: BASIC-MINING, Since: 11.07.2013 (30 days), N = 2439 (trades), Mean: 0.52844, Square: 0.02554, Volatility: 0.15982
Symbol: BASIC-MINING, Since: 12.05.2013 (90 days), N = 3990 (trades), Mean: 0.37648, Square: 0.05436, Volatility: 0.23316
Symbol: BASIC-MINING, Since: 10.08.2012 (365 days), N = 4728 (trades), Mean: 0.32338, Square: 0.06112, Volatility: 0.24723

Symbol: ASICMINER-PT, Since: 03.08.2013 (7 days), N = 1175 (trades), Mean: 3.82851, Square: 0.04996, Volatility: 0.22351
Symbol: ASICMINER-PT, Since: 11.07.2013 (30 days), N = 5027 (trades), Mean: 4.25488, Square: 0.11717, Volatility: 0.34230
Symbol: ASICMINER-PT, Since: 12.05.2013 (90 days), N = 16432 (trades), Mean: 2.15878, Square: 4.10140, Volatility: 2.02519
Symbol: ASICMINER-PT, Since: 10.08.2012 (365 days), N = 20757 (trades), Mean: 1.73078, Square: 3.94292, Volatility: 1.98568

It's up to X days, but possibly less than X days. I used N ticks as input. A volatility of 1.98 is equal to 198 %.

No guarantee for correctness. Wink

Edit: Rounded numbers - I went a similar route as the following to calculate to volatility:

http://www.wikihow.com/Calculate-Historical-Stock-Volatility

narayan

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I do not sell Bitcoins. I sell SHA256(SHA256()).

Options??

stslimited

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Merit: 500

Hey guys, I am trying to calculate a market competitive premium for some options I'll be writing.

What software do you use to calculate single share options? Do you just do a normal calculation for a standardized option of 100 units and divide by 100?

How do you price in volatility on these exchanges?

Thanks in advance!

Topic: software to valuate single share options, for BTCT.CO (Read 957 times)