TI-83 Plus Black Scholes

Plug n play / 2009-06-16

A sloppy implementation of Black Scholes on the TI-83 Plus. Some of the code is pseudo'd out so I could type it properly (sqrt() is not the proper way to root on the calculator). Additionally, the first argument of normalcdf() is just a number small enough to use the function as a Z-score calculator. It seems to work swell.

Variables:

S Stock
K Strike
V Volatility
T Time in days
C Call
P Put
H N(d1) - hedge ratio, delta
I N(d2) - P(S > K)
J N(-d1)
L N(-d2)

Code:

Disp "STOCK"
Input S
Disp "STRIKE"
Input K
Disp "VOL"
Input V
Disp "RATE"
Input R
Disp "DAYS"
Input T
T/365 -> T
ln(S/K)+(R+.5*V^2)*T -> D
D/(sqrt(T)*V)-> D
ln(S/K)+(R-.5*V^2)*T -> E
E/(V*sqrt(T)) -> E
normalcdf(-1*10^10,D) -> H
normalcdf(-1*10^10,E) -> I
S*H-Ke^(-R*T)*I -> C
normalcdf(-1*10^10,-D) -> J
normalcdf(-1*10^10,-E) -> L
-S*J+Ke^(-R*T)*L -> P
Disp "CALL",C
Disp "PUT",P
Pause
Disp "N(D1) DELTA",H
Disp "N(D2)",I

TI-83 Plus Black Scholes (915)

Plug n play / 2009-06-16

A sloppy implementation of Black Scholes on the TI-83 Plus. Read.

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