Binomial American Option Price

this function calculates the price of Call option based on the GARCH option pricing formula of Heston and Nandi(2000). The input to the function are: current price of the underlying asset, strike price, unconditional variance of the underlying asset, time to maturity in days, and daily risk free...

This free option pricing calculator can be used to calculate: Call Price, Put Price, Gamma, Delta, Theta, Vega, Implied Volatility. Calculator can use three option pricing models to caculate prices: Black-Scholes Option price, Binomial American option price and Binomial European option price

Compute European call option price using the Heston model and a conditional Monte-Carlo method [call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)*******************************************************************************INPUTS: S0 - Current price of the underlying...


Platforms: Matlab

Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc. asianbasket.m and europeanbasket.m are the files for pricing....


Platforms: Matlab

Mibian is a Python library designed to compute the price of an option. You can use it to calculate the price, the volatility or the delta of an option using the following pricing models: · Garman-Kohlhagen · Black-Scholes


Platforms: Windows

fxoptions( S0, X, rd, rf, T, vol, style)Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.European option prices are given by an exact formula (Garman-Kohlhagen).American option prices are approximated using both binomial and trinomial...


Platforms: Matlab

ADDED IN THIS VERSION:- Added the choise to select the worldzones by weight or by price (note the data in modules/shipping/worldzones.php is set for option price, adjust at your needs.)- renamed the shipping class to 'worldzones' to prevent errors with other shipping modules.


Platforms: Windows, *nix, PHP, BSD

JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.Algorithm used: Monte Carlo with antithetic and control variates techniques.JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the...


Platforms: Matlab

This contrib works on product_info.php - I only use it where I've had different products on one page due to photo limitations (pre-printed catalog). I can't guarantee that it does anything other than print the actual price of items in the pull down, where they are different to the listed...


Platforms: Windows, *nix, PHP, BSD

An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate


Platforms: Matlab

The Real Option Valuation model encompasses a suite of option pricing tools to quantify the embedded strategic value for a range of investment scenarios. Traditional discounted cash flow investment analysis will only accept an investment if the returns on the project exceed the hurdle rate....


Platforms: Windows

Actual Attribute Price is designed for those of us who would rather use a product attributes actual price rather than use a calculator to figure out the option priceExample:--------Tire APrice: $84.99Options: Size 1Size 2 ($89.99)Size 3 ($95.99)Size 4 ($109.99)Versus-------Tire BPrice:...


Platforms: Windows, *nix, PHP, BSD

To calculate the price the pricer builds a multinomial tree, as described in Amin 1993.For description of the methodology please see;1. The HTML instructuions in the zip2. Kaushik I. Amin, d-deDUJump Diffusion Option Valuation in Discrete Time,d-deDt Journal of Finance 48, no. 5 (December 1993):...


Platforms: Matlab

As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.In this...


Platforms: Matlab

AWDN(2003)introduce a powerful numerical skill (QUAD) to price universal options. In this code, I just price a E


Platforms: Matlab

This free option pricing spreadsheet will calculate the theoretical price and all of the option greeks for European call and put options. Users can also enter up to 10 different stock/option combinations and view the combined payoff graph. The code used for the theoretical models is fully...


Platforms: Windows

A graphing calculator implementation of the Black-Scholes Option Pricing Model, with extensions for both American Style Options and Extreme Value Theory.


Platforms: Windows, Mac, Linux

This script implements Mandelbrot's method for generating realistic stock price graphs based on a simple fractal rule. It keeps subdividing the graph by three and adding a "generator" to create fractal behavior.Reference:Benoit B. Mandelbrot, A Multifractal Walk down Wall Street, Scientific...


Platforms: Matlab

Set your screen saver to display floating American flags on your desktop or on a white background. This screen saver includes password protection and is a great way of showing your patriotism.

American state symbols, patriotic screensaver. To memory about victims of the September 11, 2001 of tragedy. We have created this free product - "American Banner Screensaver" which shows american symbols: a views of The American Banner, The Statues of Liberty, The White House. And...