Option sensitivity formula

[Remy Dalmulder]

Dear Statalists,

I am struggeling with my regression as i don't know if the following code is equal to the formula i have found in a paper. The formula in the paper is as follows:

i have the following code:

To create the CFO incentive formula i have to follow the Core and Guay(1999) paper
* I use the assumption that the time-to-maturity of a current granted option is equal to 10 (Core & Guay, 2002, p.220)
 gen double Time_current = 10
 * i will use the same assumption that the time-to-maturity of an unexercisable option is equal to 7 (Core & Guay, 2002, p.220)
 * The same applies for excercisable options which is equal to 6 (Core & Guay, 2002, p. 220)
 gen double Time_unex = 7
 gen double Time_exer = 6
* Since i am following the black and scholes model i will use the following formula: S * e^(-d *T)* N(Z)- X *e ^ (-r * T) * N(Z-v * T^((1/2))
* The unknown variabe in this equation is the Z which is needed for the probability
gen Z1= ( ln( prcc_f/ optprcgr)+ Time_current * ( optrfr - optdr + (optvol^2/2)))/ optvol * Time_current ^(1/2)
gen curr_opt = prcc_f * exp(-optdr * Time_current )* normal(Z1)- optprcgr* exp(-optrfr * Time_current ) * normal( Z1 - optvol * Time_current ^(1/2))

Did i make any errors within this code ( such as brackets)?

Kind regards,

Remy Dalmulder

[Mohamed Mahmoud]

Dear Remy ,

Could you please illustrate how you solve your problem ?