Price Using Closed-Form Solutions

Determine option pricing using closed-form solutions for equity derivatives
  • 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