Binomial European 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...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (53): Heston Nandi Option price Download |
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
Platforms: Windows
License: Freeware | Size: 2.06 MB | Download (1132): Option Pricing Calculator Download |
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
License: Freeware | Size: 92.16 KB | Download (41): Heston Option Pricer Download |
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
License: Freeware | Download (45): Mibian Download |
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
License: Freeware | Size: 10 KB | Download (47): Foreign Exchange Options Download |
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
License: Freeware | Download (61): World Zones Download |
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
License: Freeware | Size: 10 KB | Download (43): Log-Uniform Jump-Diffusion Model Download |
AWDN(2003)introduce a powerful numerical skill (QUAD) to price universal options. In this code, I just price a E
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (45): Using quadrature method to price a European call option Download |
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
License: Freeware | Size: 53 KB | Download (445): Option Pricing Spreadsheet Download |
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
License: Freeware | Download (56): Actualy Price in Pull down option menus 1.2.3.a Download |
An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (53): Asian Option - Pricing using Monte Carlo Control Variate Method Download |
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
License: Freeware | Size: 143 KB | Download (425): Real & Strategic Option Valuation Download |
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
License: Freeware | Download (56): Actual Attribute Price Download |
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
License: Freeware | Size: 61.44 KB | Download (45): Discrete Time Option Pricer for Jump Diffusion Processes Download |
This GUI accepts the various constants needed to run a Black-Scholes calculation for pricing several European options:Put, Call, Straddle, Strangle, Bull Spread, Bear Spread, ButterflyIt plots the pricing surface for the appropriate option and then runs a number of Monte Carlo simulations (d
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (47): Simple option pricing GUI Download |
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
License: Freeware | Size: 10 KB | Download (54): Pricing Basket Option Download |
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
License: Freeware | Size: 358.4 KB | Download (53): An Example of Markov Chain and multinominal option pricing Download |
The Fat Tail Option calculator makes use of Stable Distributions to estimate the theoretical value of European options. This provides a richer method with a better fit to real data and real capital market behavior than the common Black-Scholes formula. Especially, it can be used to take into...
Platforms: Windows
License: Freeware | Size: 2 MB | Download (187): Fat Tail Option Calculator Download |
Option Pricing Spreadsheet will calculate the theoretical price and all of the option greeks for European call and put options. You can also enter up to 10 option/stock leg combinations and view the combined payoff chart.
Platforms: Windows
License: Freeware | Size: 53 KB | Download (100): EMS Data Comparer 2005 for InterBase/Firebird Download |
Option pricing spreadsheet that calculates the theoretical price and all of the Option Greeks for European Call and Put options. The spreadsheet also allows the user to enter up to 10 option legs for option strategy combination pricing. The calculations are made in Visual Basic and all of the...
Platforms: Windows
License: Freeware | Size: 54 KB | Download (1075): Option Trading Workbook Download |