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