Price Using Closed-Form Solutions

Determine option pricing using closed-form solutions for equity derivatives

Compute price and sensitivities using closed-form solutions for many different equity instruments using various models.

Categories

Black-Scholes Model
Calculate price and sensitivity for equity options, futures, and foreign currencies using option pricing model
Black Model
Calculate implied volatility, price, and sensitivity for forwards and futures using option pricing model
Roll-Geske-Whaley Model
Calculate implied volatility, price, and sensitivity using option pricing model for American call options
Bjerksund-Stensland Model
Calculate implied volatility, price, and sensitivity using option pricing model
Nengjiu Ju Model
Price European basket options using approximation model for option pricing
Stulz Model
Price European rainbow option with maximum of two risky assets using option pricing model
Kirk Model
Price and sensitivity for European spread options using Kirk pricing model
Kemna Vorst Model
Price and sensitivity for European geometric Asian options using Kemna Vorst model
Heston Model
Calculate vanilla European option prices and sensitivities using Heston model
Bates Model
Calculate vanilla European option prices and sensitivities using Bates model
Merton76 Model
Calculate vanilla European option prices and sensitivities using Merton76 model
Haug, Haug, Margrabe Model
Price and sensitivity for European discrete arithmetic fixed Asian options using Huag, Haug, Magrabe model
Turnbull-Wakeman Model
Price and sensitivity for European continuous arithmetic Asian options using Turnbull-Wakeman model
Levy Model
Price and sensitivity for European arithmetic Asian options using the Levy model
Conze-Viswanathan and Goldman-Sosin-Gatto Models
Price and sensitivity for European lookback options using the Conze-Viswanathan and Goldman-Sosin-Gatto models
Barone-Adesi-Whaley Model
Price, sensitivity, and implied volatility for American vanilla options using Barone-Adesi-Whaley model