CBOE calculator at T=3 put= 10.582 if you u use rate 10 and dividend 9.... calculator says annual? my guess it is requiering cc rates, that is 10 and 9 (not convereted 10.51709181, 9.417428371) In that case it is fully consitent with my book.... but I have no idea how you got 13.473.....was it you that I sold options to just now at CBOE ? Leisen-Reimer n=500 10.5852CN m=n=1000 10.5824 problem with all such web calculators is that it is often unclear what input they actually require.... once a trader contacted me and told me either my book was wrong or a web based exchange calculator was wrong.... well both where right, I had actually build both of them, but they required different input parameters. Well in this case it was in the instructions...THe CBOE calculator is very unclear in what input is needed...from what they write one should think annual, but continuous compounding seems to be it....?? you can not go into their code so who knows....... I like this: confusion causes opportunities... also in calculators requiering days to expiration, do they then divide by 365? or 365.25....here I think 365? but as long as it is Black-Box it takes time to look into it... my book is no Black-Box if you are putting money to work be careful with any option calculator you use (including my book), no matter.... do not trust your intution....but trust your instincts and know your weapon!!
Last edited by Collector
on January 11th, 2007, 11:00 pm, edited 1 time in total.