Channel Update, Answer to Questions on Theta Calculation and Newton's Method in VBA
A brief update discussing upcoming topics and quick answers to two questions. Time stamps for the questions are below.
Discrepancies in theta calculated here vs. number given by platform: https://youtu.be/sfhI-zwsIc0?t=229
Newton’s method for calculating implied volatility using VBA: https://youtu.be/sfhI-zwsIc0?t=732
Upcoming topics in no particular order:
* Eigenvalue problems and the shooting method
* Nonlinear boundary value problems via finite differences
* Boundary value problems via orthogonal collocation
* Time series and autocorrelation
* Mean reversion
* Ornstein-Uhlenbeck model
* Pricing of barrier options
Note on IV in VBA: I was unable to upload the Excel file with the macro so you’ll have to download the text file with the code and paste it in.
Excel File on Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/root_finding/implied_volatility/IV_VBA.xlsm
Text File Containing Macro on Github: https://github.com/kpmooney/numerical_methods_youtube/blob/master/root_finding/implied_volatility/VBA_code.txt
Tip Jar: https://paypal.me/kpmooney
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