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Vladimir Nabokov
Vladimir Nabokov
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I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the value $c = 2.149$.

Additionally, the price of the put is $p = 1.055$ and put-call parity holds. I'm confident that my model is correct. However, Bloomberg, which also uses the Black-Scholes model, returns the result (for $1M notional) as 121.107 pips or 1.3594%P.

How do I get from my value $c$ to a value roughly the same as the one generated in Bloomberg?

Edit: Do I just divide my formula result by $S$?

TIA!

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the value $c = 2.149$.

Additionally, the price of the put is $p = 1.055$ and put-call parity holds. I'm confident that my model is correct. However, Bloomberg, which also uses the Black-Scholes model, returns the result (for $1M notional) as 121.107 pips or 1.3594%P.

How do I get from my value $c$ to a value roughly the same as the one generated in Bloomberg?

TIA!

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the value $c = 2.149$.

Additionally, the price of the put is $p = 1.055$ and put-call parity holds. I'm confident that my model is correct. However, Bloomberg, which also uses the Black-Scholes model, returns the result (for $1M notional) as 121.107 pips or 1.3594%P.

How do I get from my value $c$ to a value roughly the same as the one generated in Bloomberg?

Edit: Do I just divide my formula result by $S$?

TIA!

Source Link
Vladimir Nabokov
Vladimir Nabokov
  • 450
  • 6
  • 13

Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the value $c = 2.149$.

Additionally, the price of the put is $p = 1.055$ and put-call parity holds. I'm confident that my model is correct. However, Bloomberg, which also uses the Black-Scholes model, returns the result (for $1M notional) as 121.107 pips or 1.3594%P.

How do I get from my value $c$ to a value roughly the same as the one generated in Bloomberg?

TIA!