Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jan 9

Online Option Pricing Models

Posted by abiao at 14:37 | Code » Other | Comments(0) | Reads(5830)
Online option calculator was shared several time before, for example, the post online derivative calculator, On-Line Options Pricing & Probability Calculators, etc. Today I came across another very clean website: online Option Pricing Models.

As the website describes:
You can get the price (and the Greeks) of the available options by applying several methods:

- Black & Scholes model for european options and greeks calculation.
- Bjerksund & Stensland model for american options.
- Binomial model (Cox, Ross & Rubinstein, Jarrow-Rudd Risk Neutral, Tian) for american and european options.
- Shifted Lognormal model for european options.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF) methods for american and   european options.
- Monte-Carlo for digital option (Cash-or-Nothing) and european options and greeks estimation (FD and Malliavin).

Volatility models (SABR with calibration, Lognormal model, etc.) are also available.

I randomly tested the option calculators, they are working well, on top of that, the site is created by a French master student. So it is fine to give him credit with a separated post. Check it at http://pricing-option.com/Default.aspx.

Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]