Main Content

Price Using Closed-Form Solutions

Price spread, Asian, forwards, and futures options using closed-form solutions

Use different equity option models and a closed-form solution to price and analyze an equity option instrument.

Functions

expand all

spreadbykirk Price European spread options using Kirk pricing model
spreadsensbykirk Calculate European spread option prices or sensitivities using Kirk pricing model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadsensbybjs Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model
asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices or sensitivities of European geometric Asian options using Kemna-Vorst model
asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices or sensitivities of European arithmetic Asian options using Levy model
asianbyhhmPrice European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model
asiansensbyhhmCalculate price and sensitivities of European discrete arithmetic fixed Asian options using Haug, Haug, Margrabe model
asianbytwPrice European arithmetic fixed Asian options using Turnbull-Wakeman model
asiansensbytwCalculate price and sensitivities of European fixed arithmetic Asian options using Turnbull-Wakeman model
lookbackbycvgsgCalculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsgCalculate prices or sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
optstockbyblkPrice options on futures and forwards using Black option pricing model
optstocksensbyblkDetermine option prices or sensitivities on futures and forwards using Black option pricing model
optstockbybawCalculate American options prices using Barone-Adesi and Whaley option pricing model
optstocksensbybawCalculate American options prices and sensitivities using Barone-Adesi and Whaley option pricing model
impvbybawCalculate implied volatility using Barone-Adesi and Whaley option pricing model

Topics