Tuesday, August 18, 2009

Option Volatility & Pricing in Erlang, Java and JavaScript

I wrote an application as I read Sheldon Natenberg's excellent "Option Volatility & Pricing". You can play around with it here. Here's a few screenshots ...

You can view the source code here if you want to in take a look under the hood. In a nutshell I used Erlang to model a #position{}, composed of long and short #side{} records. Each #side{} is composed of #option{} and #underlying{} records. The PNL of a #position{} is calculated and graphed. The data is serialized as JSON to any browser where it is rendered with a Java applet and JQuery event handlers.

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