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OPERA: options price evaluation and risk analysis system

OPERA: options price evaluation and risk analysis system This paper describes a decision-support system written in APL and implemented on a Personal Computer. The purpose of the system is to assist in the management of a portfolio of stock and commodity options, so that exposure to risk will be detected as early as possible and corrective action can be effected. The system incorporates an extended version of the Black-Scholes stochastic model for determining the fair value for an option price and its sensitivity, based on the variables stock and option exercise prices, time, interest rate, and stock price volatility. Option prices and 'deltas' are computed for a range of these variables and saved in an APL database from which they are later combined with stock position information to produce tabular and graphical output showing risk exposure across the dimensions of stock price change and the passage of time. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png ACM SIGAPL APL Quote Quad Association for Computing Machinery

OPERA: options price evaluation and risk analysis system

Bogart, Barry
ACM SIGAPL APL Quote Quad , Volume 17 (4) – May 1, 1987
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Publisher
Association for Computing Machinery
Copyright
Copyright © 1987 by ACM Inc.
ISSN
0163-6006
DOI
10.1145/384282.28377
Publisher site
See Article on Publisher Site

Abstract

This paper describes a decision-support system written in APL and implemented on a Personal Computer. The purpose of the system is to assist in the management of a portfolio of stock and commodity options, so that exposure to risk will be detected as early as possible and corrective action can be effected. The system incorporates an extended version of the Black-Scholes stochastic model for determining the fair value for an option price and its sensitivity, based on the variables stock and option exercise prices, time, interest rate, and stock price volatility. Option prices and 'deltas' are computed for a range of these variables and saved in an APL database from which they are later combined with stock position information to produce tabular and graphical output showing risk exposure across the dimensions of stock price change and the passage of time.

Journal

ACM SIGAPL APL Quote Quad – Association for Computing Machinery

Published: May 1, 1987

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