I am starting a project to implement the Black-Merton-Scholes model from this book in R.

However, I am looking for, ideally free, data sources. Still I have access to a Bloomberg terminal.

Can you recommend data sources, which can be used for a project like that?

  • 2
    $\begingroup$ The question is unclear, what do you need to source? Market prices? Correlations? At least give some explanations of the inputs of your system... $\endgroup$ – SRKX Oct 22 '15 at 6:52
  • $\begingroup$ Are you looking for the data input to the variables in the Black Scholes model? $\endgroup$ – emcor Oct 22 '15 at 9:39
  • $\begingroup$ I don't get the question, if you want data for a BS Model, and you have Bloomberg, just look for the derivatives info pages and there is everything $\endgroup$ – arodrisa Oct 22 '15 at 9:54
  • $\begingroup$ @arodrisa The OP is saying, that he is looking for free data sources, other than Bloomberg which he already has. $\endgroup$ – emcor Oct 22 '15 at 12:10
  • $\begingroup$ Sorry, missread. Then, if he finds it, please let us know...hahaha $\endgroup$ – arodrisa Oct 22 '15 at 15:39

You are trying to apply BSM in the context of Credit instruments. While you have the Bloomberg terminal you can find the data there. The key is determining what are you investigating and what particular data you need. I have used something similar - Black and Cox Structural model, with changing barrier. I was able to get some free data, regarding balance sheets, from various web sites, just google. If you are doing it to learn then pick stocks that you can get the information for free when you no longer have Bloomberg, otherwise center on it and do your work. Here is another source What data sources are available online?


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