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Jun 10

Option pricing models implemented in AirXCell

Posted by abiao at 21:23 | Code » Other | Comments(0) | Reads(5649)
AirXCell is an online R application framework currently supporting a programmable spreadsheet, an R development environment and various financial calculation forms.

A new calculation form has been implemented recently within AirXCell for financial option pricing (option valuation). The option pricer within AirXCell enables the user to compute theoretical option prices. It already offers an extended set of basic and exotic models (about a dozen) than enables the user to price a wide range of option types:

American options,
European options,
Asian options,
Barrier options,
Binary options,
Currency translated options,
Lookback options,
Multiple assets options and
Multiple exercises options

Many more models are being implemented currently and will be added soon to AirXCell. In addition to the option pricing form, there are other forms especially useful in the same context that provides ways to load asset prices, visualize them, compute the theoretical and historical volatility.

This form is very valuable to quantitative researchers or any finance professional who needs to compute theoretical option prices easily and who is looking for a reliable option pricer.

The Option pricing form presents the user with an HTML form enabling her to set up the model with the required parameters values such as the underlying asset price, the strike price, the volatility of the underlying asset, etc.

For instance, the following form is presented to a user requesting the price of an european option using the Generalized Black Scholes model:

Again, there are many more models and option types coming soon as well as other forms for various other kind of calculations, still mostly oriented towards financial calculation.

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