Price Using Closed-Form Solutions

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