AsianBS | Asian option valuation via Black-Scholes (BS) model |
AsianMC | Asian option valuation with Monte Carlo (MC) simulation. |
as.OptPos | Coerce an argument to 'OptPos' class. |
AverageStrikeMC | Average Strike option valuation via Monte Carlo (MC)... |
BarrierBS | Barrier option pricing via Black-Scholes (BS) model |
BarrierLT | Barrrier option valuation via lattice tree (LT) |
BarrierMC | Barrier option valuation via Monte Carlo (MC) simulation. |
Binary_BOPM | Binary option valuation vialattice tree (LT) implementation |
BinaryBS | Binary option valuation with Black-Scholes (BS) model |
BinaryMC | Binary option valuation via Monte-Carlo (via) simulation. |
BOPM | Binomial option pricing model |
BOPM_Eu | European option valuation (vectorized computation). |
BS | Black-Scholes (BS) pricing model |
BS_Simple | Black-Scholes formula |
ChooserBS | Chooser option valuation via Black-Scholes (BS) model |
ChooserLT | Chooser option valuation via Lattice Tree (LT) Model |
ChooserMC | Chooser option valuation via Monte Carlo (MC) simulations |
CompoundBS | Compound option valuation with Black-Scholes (BS) model |
CompoundLT | Compound option valuation via lattice tree (LT) model |
DeferredPaymentLT | DeferredPaymentLT |
ForeignEquityBS | ForeignEquity option valuation via Black-Scholes (BS) model |
ForwardStartBS | ForwardStart option valuation via Black-Scholes (BS) model |
ForwardStartMC | Forward Start option valuation via Monte-Carlo (MC)... |
GapBS | Gap option valuation via Black-Scholes (BS) model |
GapLT | Gap option valuation via lattice tree (LT) model |
GapMC | Gap option valuation via Monte Carlo (MC) simulation |
HolderExtendibleBS | Holder Extendible option valuation via Black-Scholes (BS)... |
is.Opt | Is an object 'Opt'? |
is.OptPos | Is an object 'OptPos'? |
is.OptPx | Is an object 'OptPx'? |
LadderMC | Ladder option valuation via Monte Carlo (MC) simulation. |
LookbackBS | Lookback option valuation with Black-Scholes (BS) model |
LookbackMC | Lookback option valuation via Monte Carlo (MC) simulation |
Opt | 'Opt' object constructor |
OptPos | 'OptPos' object constructor |
OptPx | 'OptPx' object constructor |
pbnorm | Bivariate Standard Normal CDF |
PerpetualBS | Perpetual option valuation via Black-Scholes (BS) model |
Profit | Computes payout/profit values |
QuotientBS | Quotient option valuation via Black-Scholes (BS) model |
QuotientMC | Quotient option valuation via Monte Carlo (MC) model |
RainbowBS | Rainbow option valuation via Black-Scholes (BS) model |
ShoutFD | Shout option valuation via finite differences (FD) method |
ShoutLT | Shout option valuation via lattice tree (LT) |
ShoutLTVectorized | Shout option valuation via lattice tree (LT) |
ShoutMC | Shout option valuation via Monte Carlo (MC) simulations. |
VarianceSwapBS | Variance Swap valuation via Black-Scholes (BS) model |
VarianceSwapMC | VarianceSwap option valuation via Monte Carlo (MC)... |
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