Quantitative Finance Collector is a blog on Quantitative finance analysis, methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management.
Mar
11
A c++ class list for finance, specifically, a derivative calculator source code, is available, including:
american_option_approximation: uses the Black Scholes formulae for European options, to approximate the values of American options.
american_option_fudge: approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor
binomial_option: typical binomial tree to price option value
Bisection_Secant< functor, real > : This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration
european_option_pair : Black Scholes option pricing formulae for puts and calls
...
Click for more and downloading http://acumenconsultinginc.net/TechNotes/public_options/html/annotated.html
american_option_approximation: uses the Black Scholes formulae for European options, to approximate the values of American options.
american_option_fudge: approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor
binomial_option: typical binomial tree to price option value
Bisection_Secant< functor, real > : This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration
european_option_pair : Black Scholes option pricing formulae for puts and calls
...
Click for more and downloading http://acumenconsultinginc.net/TechNotes/public_options/html/annotated.html
Mar
8
A compound option is simply an option on an option. The exercise payoff of a compound option involves the value of another option. A compound option then has two expiration dates and two strike prices. Take the example of a European style call on a call. On the first expiration date T1, the holder has the right to buy a new call using the strike price X1. The new call has expiration date T2 and strike price X2.
The pricing of many other derivative instruments can be modeled as compound options. By visualizing the underlying stock as an option on the firm value, an option on stock of a levered firm that expires earlier than the maturity date of the debt issued by the
firm can be regarded as a compound option on the firm value (Geske, 1979). On the expiration of the option (the first expiration date of the compound option), the holder chooses to acquire the stock or otherwise. The decision depends on whether the stock as a call on the firm value is more valuable than the strike price.
The pricing of many other derivative instruments can be modeled as compound options. By visualizing the underlying stock as an option on the firm value, an option on stock of a levered firm that expires earlier than the maturity date of the debt issued by the
firm can be regarded as a compound option on the firm value (Geske, 1979). On the expiration of the option (the first expiration date of the compound option), the holder chooses to acquire the stock or otherwise. The decision depends on whether the stock as a call on the firm value is more valuable than the strike price.
Nov
25
Key Benefits of the OptionCity Calculator
* Flexible models with stochastic volatility and stock price jumps
* Option prices with Greeks (sensitivity to parameters)
* Realistic Smile charts
* Fast evaluations
* Self-validating results. (You validate calculations by selecting a different numerical method: Lattice, Series, or Monte Carlo)
The program is a downloadable executable for MS Windows systems: http://www.optioncity.net/calculator.htm
* Flexible models with stochastic volatility and stock price jumps
* Option prices with Greeks (sensitivity to parameters)
* Realistic Smile charts
* Fast evaluations
* Self-validating results. (You validate calculations by selecting a different numerical method: Lattice, Series, or Monte Carlo)
The program is a downloadable executable for MS Windows systems: http://www.optioncity.net/calculator.htm
Oct
27
Online Fourier Space Time-stepping (FST) option calculator where options class includes European, American, Barrier, Shout and Spread option; underlying stock process follows Black Scholes Merton, Merton Jump Diffusion, Kou Jump Diffusion, Variance Gamma, Normal Inverse Gaussian and CGMY.
For more information on the Fourier Space Time-stepping (FST) method, stock price models and options refer to the papers below at the site http://128.100.73.155/fst/.
Papers:
* Option Pricing with Regime Switching Levy Processes Using Fourier Space Time-stepping
* Fourier Space Time-stepping for Option Pricing with Levy Models.
Related Matlab codes can also be downloaded at http://www.cs.toronto.edu/~vsurkov/fst_matlab.html
For more information on the Fourier Space Time-stepping (FST) method, stock price models and options refer to the papers below at the site http://128.100.73.155/fst/.
Papers:
* Option Pricing with Regime Switching Levy Processes Using Fourier Space Time-stepping
* Fourier Space Time-stepping for Option Pricing with Levy Models.
Related Matlab codes can also be downloaded at http://www.cs.toronto.edu/~vsurkov/fst_matlab.html
Oct
22
Open Source Software for Financial Engineering and Computational Finance
Rmetrics is the premier open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods Rmetrics combines explorative data analysis, statistical modeling and rapid model prototyping. The Rmetrics Packages are embedded in R building an environment which creates for students a first class system for applications in statistics and finance.
Download at http://cran.cnr.berkeley.edu/web/packages/fOptions/index.html
Rmetrics is the premier open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods Rmetrics combines explorative data analysis, statistical modeling and rapid model prototyping. The Rmetrics Packages are embedded in R building an environment which creates for students a first class system for applications in statistics and finance.
Download at http://cran.cnr.berkeley.edu/web/packages/fOptions/index.html
