EQUITIES DERIVATIVES
Black with one dividend payment
This contract uses a Black model with one dividend rate contribution.
Black
This contract is similar to the Black & Scholes Option but uses a forward asset price rather than a spot price.
Black with many dividend payments
This contract uses a Black model with a forward dividend position obtained from constant and proportional dividends.
Black & Scholes with Zero Coupon curve
This contract uses a Black Scholes model and a Zero Coupon rate.
Black & Scholes with Yieldcurve
This contract uses a Black & Scholes model with a full interest rate model.
Black & Scholes Bermudan
A contract valued with a Tree employing fixed and proportional dividends and exercise dates. The contract prices are priced in the Tree to maturity.
Black & Scholes Bermudan Structure
A contract valued with a Tree employing fixed and proportional dividends and exercise dates. The contract prices are priced analytically to maturity.
Black & Scholes American
A contract valued with a BAW approximation to determine the American Option.
Black & Scholes Asian
A contract valued with three approaches to deal with the Fixed and Floating discrete Asian options.
Black Scholes Margrabe
A contract valuing the option payoff of one asset price minus another.
Black Scholes Exchange Option
A contract valuing the option payoff of one asset minus another plus a strike.
GUIDANCE
Notice the large number of regular derivatives:
Pricing per bid / ask;
Delta per bid / ask (first option price asset price derivative);
Gamma per bid / ask (second option price asset price derivative);
Theta per bid / ask (time derivative for option);
Vega per bid / ask (volatility derivative for option price);
Rho per bid / ask (interest rate derivative for option price);
Phi per bid / ask (strike derivative for option price);
Notice also the unusual derivatives:
Volga per bid / ask (second option price volatility derivative);
Veta per bid / ask (mixed option price time / volatility derivative);
Vanna per bid / ask (mixed option price spot / volatility derivative);
Charm per bid / ask (mixed option price time / asset price derivative);
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The USD, EUR, JPY and GBP nodes translate the positions into currency equivalence;
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All columns and decimal places can be changed;
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Positions of more than one asset / share can be calculated;
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The actually dates are calculated;
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For interest rates and volatility the data is in percentages whereas for strike and spot the data is in currency;
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The dividend is calculated as an asset yield in presented in percentage;
The left hand properties allow:
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Specific deal information;
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A document showing the analytical expressions;
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Saving this option into Excel or into the public / private database;
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FX data in general or as specified;
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Show all Equity options;