Re: Software Citation for Gnumeric

[Hal Ashburner <hala cse unsw edu au>]

On Mon, 2007-08-06 at 14:48 +0800, Gideon Butalid wrote:
> Hi.
>
> Thanks for writing the options functions. This is another matter. I'm
> using  Gnumeric 1.7.8. The documentation for the OPT_BS function, I
> think is a little misleading. Particularly the cost of carry rate, I
> have checked this with fOptions on R and other written references. In
> the documentation for OPT_BS, the cost of carry is the leakage in
> value of the underlying asset, for common stocks this would be the
> dividend yield. 
>
> I have tried it with examples, and I think the cost of carry:
>
> cost of carry = r we get Black and Scholes' stock option model
> cost of carry = r-q we get Merton's stock option model with continuous
> dividend yield q 
> cost of carry = 0 we get Black's futures option model
>
> Got the notes above from fOptions.
> Thanks again. Or should this be directed to those doing documentation?
> I don't know how.


Hey Gideon,
I wrote that, as you point out it is probably misleading. If you feel
like suggesting an improvement for the wording that would be great. Or
I'll dig out the textbooks and get it precise on the weekend or
something.

Hal