Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.
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).
...
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).
...
Apr
28
Parisian option might sound unfamiliar to you, it is basically a barrier option but becomes activated only after stock prices have spent a certain continuous, pre-decided time, called a window, above or below the barrier. One of possible motivations for the existence of the Parisian option, as stated in Haber, Schoenbucher, and Wilmott (1999) is: "...there is a need to make the option more robust against short-term movements of the share price..., in particular, it is far harder to effect the triggering of the barrier by manipulation of the underlying..."
Taking an up barrier Parisian option as an example, the barrier time tau is defined as the length of time the stock prices have been above the barrier in the current excursion
tau := t − sup {s <= t|S(s)<= L}
with up barrier L, tau measures the difference between the current time t and the last time the stock price S below L, the call feature is activated only if tau>= D, with D being barrier window.
Interested reader shall download a Parisian option pricer at http://paul.wilmott.com/software.cfm, where the authors price Parisian options by a finite-difference solution of a three-dimensional partial differential equation.
Taking an up barrier Parisian option as an example, the barrier time tau is defined as the length of time the stock prices have been above the barrier in the current excursion
tau := t − sup {s <= t|S(s)<= L}
with up barrier L, tau measures the difference between the current time t and the last time the stock price S below L, the call feature is activated only if tau>= D, with D being barrier window.
Interested reader shall download a Parisian option pricer at http://paul.wilmott.com/software.cfm, where the authors price Parisian options by a finite-difference solution of a three-dimensional partial differential equation.
Apr
16
Equity Option Calculator on Gphone was shared in this post. The author has published a binary option calculator for Gphone, as the author's webpage says:
To download, either search "Binary Option" on Gphone, or simply go to the author's blog http://jwdevg1.blogspot.com/2009/04/binary-option-calculator-published.html
Quotation
Binary Option Calculator is for advanced options traders. Calculate option prices and Greeks for discontinuous payoff functions.
Can price any combination of:
Calls or Puts
European or American style
Cash-or-nothing or Asset-or-nothing
Option value or Implied volatility.
Can price any combination of:
Calls or Puts
European or American style
Cash-or-nothing or Asset-or-nothing
Option value or Implied volatility.
To download, either search "Binary Option" on Gphone, or simply go to the author's blog http://jwdevg1.blogspot.com/2009/04/binary-option-calculator-published.html
Mar
27
I bought a Gphone several months ago, its main attraction to me is Gmail everywhere as long as there is signal since I can't use Gmail box with my PC at company (my boss won't read my blog). Another shining point of Gphone is its Android platform and Market, where people can publish applications on entertainment, finance, news, weather, etc.
Yesterday I downloaded a free application named Equity option calculator, a simple equity options pricer for European style no dividend calls and puts using your own inputs under Black Scholes model framework. Alternatively enter a ticker and let the market data calibrator fill in pricing parameters. solve for the option value or implied volatility. The pricer also calculates option sensitivities (Greeks).
Although the supported options are limited, it is fun to play a derivative calculator wherever as you go, isn't it? the code is written in Java that I am not familiar with, but have downloaded The Android SDK for developers to see if I am able to build an application covering more options like Matlab-GUI equity derivative calculator does.
if you happen to own a Gphone, this option pricer can be found by typing "equity option calculator" in Market. Have fun.
Publisher's blog: http://jwdevg1.blogspot.com/
Yesterday I downloaded a free application named Equity option calculator, a simple equity options pricer for European style no dividend calls and puts using your own inputs under Black Scholes model framework. Alternatively enter a ticker and let the market data calibrator fill in pricing parameters. solve for the option value or implied volatility. The pricer also calculates option sensitivities (Greeks).
Although the supported options are limited, it is fun to play a derivative calculator wherever as you go, isn't it? the code is written in Java that I am not familiar with, but have downloaded The Android SDK for developers to see if I am able to build an application covering more options like Matlab-GUI equity derivative calculator does.
if you happen to own a Gphone, this option pricer can be found by typing "equity option calculator" in Market. Have fun.
Publisher's blog: http://jwdevg1.blogspot.com/
Mar
20
A nice paper on step-by-step option pricing with excel, VBA codes are included in the paper as well.
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
