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Apr
30
MG Soft Exotic Options Calculator is a freeware software to calculate the option value and greeks of vanilla and exotic options, mainly using Monte Carlo simulation.
The software supports the following types of options at the moment.
Vanilla Options (using standard Black-Scholes formulae).
Binary (Cash-or-nothing) Options (using standard analytical formulae).
Asian Options (using Monte Carlo simulation).
Barrier Options (using Monte Carlo simulation).
Lookback Options (using Monte Carlo simulation).
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The software supports the following types of options at the moment.
Vanilla Options (using standard Black-Scholes formulae).
Binary (Cash-or-nothing) Options (using standard analytical formulae).
Asian Options (using Monte Carlo simulation).
Barrier Options (using Monte Carlo simulation).
Lookback Options (using Monte Carlo simulation).
...
Aug
22
The payoffs from lookback options depend on the maximum or minimum asset price reached during the life of the option. The payoff from a European-style lookback call is the amount that the final asset price exceeds the minimum asset price achieved during the life of the option. The payoff from a European-style lookback put is the amount by which the maximumasset price achieved during the life of the option exceeds the final asset price.
Floating Strike Lookback Options means the strike is given as the optimal(maximum or minimum) value of the underlying asset. Matlab code for pricing it is here:
http://www.global-derivatives.com/code/matlab/Lookback-FloatingStrike.m
Floating Strike Lookback Options means the strike is given as the optimal(maximum or minimum) value of the underlying asset. Matlab code for pricing it is here:
http://www.global-derivatives.com/code/matlab/Lookback-FloatingStrike.m
