# Calculate The Implied Volatility Which Minimizes The Sum Of Squared Differences Between The Observed Market Price And The Model Price For Each Day

Jun 9, 2008
I have calculated the implied volatility for different single options using the newton raphson method. But, I also need to calculate the implied volatility which minimizes the sum of squared differences between the observed market price and the model price for each day. I guess one needs to use vectors (jacobian matrix) to do this, but I do not know how to expand the code to be able to do this. Anyone have any idea how this can be done? I have attached the [code] I have used to calculate the implied volatility for one option.

View 2 Replies
ADVERTISEMENT
Aug 1, 2008

I have a spreadsheet that tries to model a possible stock price movement in a column. So in column A I have all dates starting from today and in Column B a specific stock's possible stock price movemens onver the next 2 years.

So dates start at A3 and stock prices start at B3 and end at A734 and B734.

This gives me ONE possible stock movement and to get the most accurate movement, I will need to model this 20,000 times.

Therefore, I want to create a loop macro that repeat this motion 20,000 times in the columns next to A and B. So which loop effect would I need to use and how would the code look like ? This is honestly my first time attempting to use a loop macro

View 9 Replies
View Related
Sep 5, 2012

I need J22 to multiply based on years in B22 AND increase 5% for each of those years (compounding) after two years (excludes year 1 from 5% increase). In addition the cell needs to remain blank if D22 is blank. B22 = 1, then the stockprice needs to remain the same, and only increase by 5% after year 1.

Currently...

B22 = a number of years indicated by the formula: =IF(A22="","",DATEDIF(A22,I3,"y"))

J22 =IF(ISNA(VLOOKUP(D22,stockprices,2,FALSE)),"",VLOOKUP(D22,stockprices,2,FALSE))

Example:

If J22 stockprice lookup is $1000.00, and the number of years listed in B22 is 6, then the reported value in J22 needs to be $1494.40.

Windows 7 Ultimate / Excel 2010

View 1 Replies
View Related
Jul 23, 2008

I have an LSE spreadsheet with a list of 150 stocks. I need to find the easiest way of calculating the volatility of each stock using either standard deviation or garman-klass. Is there way of coding it so i can probable pull through data from the internet nd run simultaneous calculation for each of the stocks?

View 9 Replies
View Related
Jan 4, 2010

The analysis basically has 2 data components to it:

The 1st part, is a basic transaction list of shopping items bought through the year. Each transaction's shopping item also has the quantity of that item purchased at that time.

The 2nd part, is a pricing sheet for all the different types of shopping items. The pricing sheet has different prices for different quantities at which the item is purchased.

What I am trying to do is to find the relevant price for shopping item, which depends on not only what the item is, but also the quantity. In point form, it should follow the logic below:

1) Identify the item in the shopping list (worksheet 1) from the list of prices (worksheet 2)

2) Find quantity in the prices worksheet that is closest to the quantity in the shopping list (i.e. where the difference between the quantity on transaction list and the quantity on the pricing sheet is the least)

3) Pull the price for this "closest quantity"

I have uploaded a worksheet showing the structure of that data.

[url]

Is there some VB code I need to do this, or can it just be a few simple formulas?

View 4 Replies
View Related
Jul 24, 2006

All data is located within one book. I have two sheets with material codes in each sheet which include pricing (existing and current)

Sheet1 (has existing material codes plus existing pricing) Has about 1200 lines

Sheet2 (has current material codes plus current pricing), has about 36000 lines

I need to cross check if the material code (taken from sheet1) are still available in sheet2, and if they are, copy the current price back to sheet1. The current price needs to be pasted back into sheet1 (next to the existing price). If the material code doesn't exist (for whatever reason, in sheet2), the program needs to move onto the next line and leave the current price for that material code blank. The program should finish once all the lines in sheet1 are completed. I have attached a sample of what I'm trying to do,

View 7 Replies
View Related
Feb 12, 2010

I have have a large array of prices (across rows) and am looking for the closest price to match a price that I have been provided with. It's a basic benchmarking exercise on a row by row basis....and the price can be positive or negative. Is there a clean way to reference the closest price?

I have come across a fair amount of solutions, but none worked optimally - particularly the =INDEX(Data,MATCH(MIN(ABS(Data-Target)),ABS(Data-Target),0)) approach....it just didn't work for some lines, and only worked for values less than source price in other instances.

I would also like to reference the source on the next column.

View 12 Replies
View Related
Mar 17, 2009

I am trying to do an if statement where I ask if the 2009 price is .50 or less away from the 2008 price, bring back "Check" See below:

2008 2009

$23.95 $24.15

Using excel 2007

View 3 Replies
View Related
Feb 7, 2008

I have a cost price in cell a1 I want to calculate the selling price.

If the cost price is less than 0.25 then the selling price is cost multiply x5 if the cost is between 0.26 & 1.00 the selling price is cost multiply x4 if the cost is between 1.01 and £4.99 the selling price is cost x3.5

View 4 Replies
View Related
Feb 14, 2014

Trying to calculate the lost revenue value for when a piece of machinary is offline for a period of time based on the hrly price during that particular period. The machines come on/off line at various times during the year so i am trying to make this a bit dynamic so i only need to add new info and not have to change the formula

Column F - Off date of machine

Column G - Restart date of machine

Column H - Hrly time

Column I - Hrly price

I thought this formula (an array) would work for me

=average(if((Column H>=Column F) * (Column H<= Column G), Column I)) but it only calculates that average price for the first period and not new average prices for other periods.

what adjustments I can make to my formula or is there a better formula to use?

View 1 Replies
View Related
Apr 21, 2009

I`m relatively inexperienced with Excel, searched for a few days and have not been able to figure out how to calcuate this value. I have multiple worksheets to work out financials. I have a separate worksheet with the pricing breakdown based on volume. 2 columns

0 - 99,999 0.05

100,000 - 499,999 0.04

500,000 - 999,999 0.03

1,000,000+ 0.03

On a separate worksheet I want to add I6+I7, depending on the value multiply it by the value in the second column. So if the total is 520,000 then multiply it by 0.03.

View 5 Replies
View Related
Jul 19, 2012

I have the following data, where a negative number represents a sell of shares and a positive number a purchase and column C shows at what price the transaction happened.

A

B

C

D

E

F

1

Ticker

Quantity

Price

Ticker

Average Price

[Code] .......

And I've been asked to calculate the average price per ticker. For now it doesn't matter whether it's based on a first in first out principle or first in last out principle.

View 9 Replies
View Related
Jan 1, 2008

Trying to create a Math formula that allows for Taking advantage of sale pricing.

In Excel the following:

Qty to Order (G3), Std Package(I3), Price per Unit(J3), Sale Price(K3), =

Extended Price(L3)

Example

2case X 40peices per case,1.00Reg Price,.90Sale Price = 72.00

Not quite sure how to handle the Sale price taking over regular pricing

View 9 Replies
View Related
Apr 23, 2009

I am looking for a formula that can change the price of some of the items on sheet1 in column C by the amount found on Sheet2 in Column D. I would like it to base the calculation on column C in sheet2 (so I can choose if I want to add, subtract, multiply, divide, or make the price exact). I would like all prices that don't match these UPC codes to remain unchanged.

Intended Results can be seen on Sheet1 in Column E. Not sure if I should a formula with the Vlookup function or a macro, or maybe there is even a better solution.

Example spreadsheet may be viewed at http://spreadsheets.google.com/ccc?k...WLMyhNJLiPLTfA.

View 9 Replies
View Related
Jun 9, 2007

attached is my spreadsheet. What I would like it to do is when someone marks a "N" or some other symbol in the box showing that supply not there; that excel copies the item #'s for the products listed and calculates up the prices for those items.

Thank you in advance for your help. If at all possible if it could calculate the order on another sheet such as sheet 3 that would be fantastic

View 5 Replies
View Related
Jul 18, 2014

For this ordering tool, I would like to calculate and present the grand total, starting from a fixed range of two columns (each 10 rows), where one has quantities, and the other has the price/unit. Since I'm not allowed to change the layout of the ordering sheet (we still fax orders...), I can not add a column for the subtotals. Also, not all rows are filled necessarily.

I had some success with this as a worksheet function: =IF(ISERROR(H30*I30);0;H30*I30)+..., but I would really like to have it as a part of a big VBA function, since colleages might alter/delete the worksheet formula.

I looked and messed around with For loops, but I can't make it work.

View 1 Replies
View Related
Jun 23, 2010

Is there an excel formula that can calculate a proposed selling price by entering a desired profit margin percentage and knowing the cost of goods sold?

I know that gross profit is calcualted by subtracting the cost of goods sold from the selling price and that the gross profit margin is calculated by dividing gross profit by the selling price..but not coming up with a way to back out a selling price by just knowing the cost of goods sold and entering a desire gross profit margin?

View 9 Replies
View Related
Aug 13, 2008

to formulate Excel formulas to obtain the average buy price and average sell price for me to do this futures trading. Thanks a lot. I downloaded the Htmlmaker to post the spreadsheet here to show the manual way to calcualte the average buy price and average sell price but when it is on html form, i clicked on the 'Please click this button to send the source into clipboard' button & then i paste into this thread. Is the way to make my spreadsheet appear here correct cause it cannot work.

View 9 Replies
View Related
Jul 14, 2009

I have a unit price and a quantity. I want to be able to take the sum of the extended price without having to add a column for extended price. I don't want to just hide it, either.

Example attached.

View 2 Replies
View Related
Apr 7, 2007

I am trying to find out how to set a formula that allows me to price point. Our marketing department want all product prices to be either to the value of 6 or 9

eg:

$72 becomes $76

$77 becomes $79

View 9 Replies
View Related
May 10, 2013

I have a task to rank the stocks from the highest price to the lowest price. I've made a template and managed to get the ranking right. I used the LARGE() function.

But now the difficulty is to get the 'Stock name' related to the ranked price. I may do it with the MATCH() function. But the problem is there is an equal number 15%.

Can you have a look at the example attached here?

View 5 Replies
View Related
Mar 16, 2006

My goal is a price code for cost of goods. In G1 I have "BLACKHORSE". I need a code will convert 1 to B, 2 to L, BLA for 123 and so on. This formula is giving me BBBLBB for 1. I don't need cents, just whole numbers.

View 14 Replies
View Related
Sep 16, 2009

i have a some detail in the tabular form with different criteria as size, colour ,purity,cut ,by combining all these i have price list in a tabular form , if i want to intersect all this and find the price how can i do so

View 9 Replies
View Related
Aug 2, 2014

A1 cell includes; Dividend Payment : TWITTER (National Market) %39,06 (Closing Price: 5,28 Dolar), Cash Dividend I want 5,28 result in B1 cell ?

A2 cell includes; Dividend Payment : FACEBOOK %5,00 (Closing Price: 53,18 Dolar), Stock Dividend I want 53,18 result in B2 cell ?

In order to understand my question open enclosed file.

Note1: "Closing Price:" text in the cells are stable.

Note2: "Dolar" text in the cells are stable.

View 7 Replies
View Related
Jan 6, 2014

I'm trying to set a formula that will calculate the price difference between two identical items in two different sheets. The items' order is not the same and each list includes some different items along the identical ones.

View 11 Replies
View Related
Jul 18, 2008

using Excel 2002 on XP.

My partner and I are selling products. He gets 5% of the sales price, then I get the rest. But I want to make at least $2 on every sale. So, let's say the item cost us $50. If he wants 5% off the top, and I want at least $2, how do we calculate what to sell it for?

I tried the following, but it didn't work:

$50 (cost)

+ $2 (my profit)

+ 5% (partner's profit)

------

$54.60 (sales price)

It doesn't work because I end up with $1.87.

$54.60 (sales price)

- 5% (partner's profit)

- 50 (cost)

------

$1.87 (my profit)

I've tried other things, but I always end up under $2. Is it possible to calculate this? or do I need to have a percentage for myself? If Excel can't do it, do you know of any calculators out there than can?

View 9 Replies
View Related
Nov 17, 2008

I'm making a work sheet for items and would like to have the lowest price in a column automatically flagged by bolding, color change, font change or something.

View 14 Replies
View Related
May 8, 2009

I have a price list Width/Drop

100013001600190022002500280031003400370040004300460049005200

850

1150

1450

1750

2050

2350

2650

2950

3250

3550

3850

I need to index given :-

My ranges are named Width and drop and List. Rules are anything above largest drop/width must return 0. anything below lowest width/drop will be the lowest listed

anything inbetween will choose the value >= to the value. lookup is returning the closest, and my other formula fell foul of nesting, i am working in 2007 but it is targeted at XP/2002.

View 5 Replies
View Related
Jan 4, 2010

I get a price list from my distributor, my scale I use for my store is anything below $10 (from my distributor price) gets 30% markup, then anything above $10 gets 20% markup. How would I be able to function this into the list I receive in excel so I can export the prices directly to my store of what the prices should be in my store. Also it would be a plus if at the end I can get it to end in 99 cents. Thank you look forward to your response! I am using Excel 2003

View 12 Replies
View Related
May 9, 2014

I have a price table with about 70,000 line items (some lines are duplicates).

There are about 12 columns each with different qualities such as item name, size, thickness, price and etc.

I've been building this table in excel and just importing it into Access for the time being.

When a customer sends me an order, I'd like to be able to look up the items in my price table (matching across multiple columns) and automatically return the price for each item.

So far, I've been using the following formula....

=LOOKUP(2,1/($A$1:$A$60000=D1),$B$1:$B$60000)

With A5:A60000 = price list concatenate so all columns in 1

D1 = item I'm searching for

B1:B60000 = prices for items

The only thing is that this is very labor intensive.

The only thing is my customers will typically submit an order and it is NOT in the same format as I need it to be.

So it's very labor intensive and I spend hours just editing their order in a spreadsheet so that it follows the format I need it to.

View 1 Replies
View Related