Pricing of Vanilla and Exotic Option Contracts
Coerce an argument to OptPos class.
Asian option valuation via Black-Scholes (BS) model
Asian option valuation with Monte Carlo (MC) simulation.
Average Strike option valuation via Monte Carlo (MC) simulation
Barrier option pricing via Black-Scholes (BS) model
Barrrier option valuation via lattice tree (LT)
Barrier option valuation via Monte Carlo (MC) simulation.
Binary option valuation vialattice tree (LT) implementation
Binary option valuation with Black-Scholes (BS) model
Binary option valuation via Monte-Carlo (via) simulation.
Binomial option pricing model
European option valuation (vectorized computation).
Black-Scholes (BS) pricing model
Black-Scholes formula
Chooser option valuation via Black-Scholes (BS) model
Chooser option valuation via Lattice Tree (LT) Model
Chooser option valuation via Monte Carlo (MC) simulations
Compound option valuation with Black-Scholes (BS) model
Compound option valuation via lattice tree (LT) model
DeferredPaymentLT
ForeignEquity option valuation via Black-Scholes (BS) model
ForwardStart option valuation via Black-Scholes (BS) model
Forward Start option valuation via Monte-Carlo (MC) simulation
Gap option valuation via Black-Scholes (BS) model
Gap option valuation via lattice tree (LT) model
Gap option valuation via Monte Carlo (MC) simulation
Holder Extendible option valuation via Black-Scholes (BS) model
Is an object Opt?
Is an object OptPos?
Is an object OptPx?
Ladder option valuation via Monte Carlo (MC) simulation.
Lookback option valuation with Black-Scholes (BS) model
Lookback option valuation via Monte Carlo (MC) simulation
Opt object constructor
OptPos object constructor
OptPx object constructor
Bivariate Standard Normal CDF
Perpetual option valuation via Black-Scholes (BS) model
Computes payout/profit values
Quotient option valuation via Black-Scholes (BS) model
Quotient option valuation via Monte Carlo (MC) model
Rainbow option valuation via Black-Scholes (BS) model
Shout option valuation via finite differences (FD) method
Shout option valuation via lattice tree (LT)
Shout option valuation via lattice tree (LT)
Shout option valuation via Monte Carlo (MC) simulations.
Variance Swap valuation via Black-Scholes (BS) model
VarianceSwap option valuation via Monte Carlo (MC) simulation.
Option pricing (financial derivatives) techniques mainly following textbook 'Options, Futures and Other Derivatives', 9ed by John C.Hull, 2014. Prentice Hall. Implementations are via binomial tree option model (BOPM), Black-Scholes model, Monte Carlo simulations, etc. This package is a result of Quantitative Financial Risk Management course (STAT 449 and STAT 649) at Rice University, Houston, TX, USA, taught by Oleg Melnikov, statistics PhD student, as of Spring 2015.