5 Models supported

The OptionMatrix programs support the following models:

5.1 BSM

• Black-Scholes
• Merton-73
• Generalized Black-Scholes
• French
• Carry
• Warrants Black-Scholes
• Warrants Black-Scholes Dividend

5.2 American Options

• American Barone-Adesi Whaley
• Black-Scholes American
• American Perpetual
• American Put Approx Johnson
• American Put Approx Geske-Johnson
• Barone-Adesi Whaley
• Bjerksund Stensland

5.3 Single Asset Options

• Executive
• Time Switch Option
• Extendible Writer
• Forward Start Option
• Standard Barrier
• Double Barrier
• Soft Barrier
• Binary Barrier
• Discrete Adjusted Barrier
• Look Barrier
• Partial Time Barrier
• Asset-or-Nothing
• Cash-or-Nothing
• Gap Option
• Super Share
• Simple Chooser
• Complex Chooser
• Floating Strike Lookback
• Fixed Strike Lookback
• Partial Fixed Lookback
• Partial Float Lookback
• European Lookback
• Extreme Spread
• Calls on Options
• Puts on Options

5.4 Two Asset Options

• Spread Approximation
• Two Asset Cash or Nothing
• Two Asset Correlation
• Options on The Max Min
• Partial Time Two Asset
• Two Asset Barrier
• American Exchange Option
• European Exchange Option
• Exchange Exchange Option

5.5 Jump Diffusion

• Merton Jump Diffusion

5.6 Trees & Finite Differences

• Heston
• American Cox Ross Rubinstein
• American Equi
• European Cox Ross Rubinstein
• European Equi
• Cox Ross Rubinstein Binomial
• 3D-Binominal
• American Binomial
• American Binomial Dividend
• European Binomial
• European Binomial 1 Period
• European Binomial M Period
• Generic Binomial
• Bermudian Binomial
• American Finite Difference Explicit
• European Finite Difference Explicit
• American Finite Difference Implicit
• European Finite Difference Implicit
• Trinomial Tree
• American Trinomial
• Heston Semi-Analytic
• Binomial Jarrow-Rudd
• Additive Equiprobabilities
• Trigeorgis
• Tian
• Leisen-Reimer
• Joshi
• Bates Semi-Analytic
• Integral
• Finite Differences Bermudan

5.7 Monte Carlo

• Simulate European Option
• Simulate European Generic Option
• Simulate European Option Generic with Control Variate
• Simulate European Option Generic with Antihetic Variate
• Simulate Price Path
• Simulate Price Path Control Variate
• MC (Crude)
• QMC (Sobol)
• MC (Longstaff Schwartz)

5.8 Discrete Dividend

• Roll-Geske-Whaley
• Black-Scholes Dividends
• American Proport Dividends Binomial
• Black-Scholes Coupon Bond

5.9 Currency

• Quanto
• Garman-KohlHagen
• Foreign Equity Option Struck in Domestic Currency
• Equity Linked Foreign Exchange Option
• Takeover Foreign Exchange Option
• Currency American Binomial
• Currency European

5.10 Futures

• Black-76
• Miltersen Schwartz
• Futures Option American Binomial
• Futures
• Futures Dividend

5.11 Interest Rate Derivatives

• Swap Option

5.12 Asian

• Turnbull Wakeman Asian
• Levy Asian
• Geometric Average Rate
• Asian Geometric Average

5.13 Implied Volatility

• Bisection
• Newton Raphson
• Barone-Adesi Whaley Bisection
• Black-Scholes Bisection
• Implied Volatility Black-Scholes Newton
• Implied Bisections

5.14 Bonds

• Vasicek Bond Price
• Vasicek Bond Option
• Convertible Bond
• Bond Zero Black
• Bond Zero Vasicek
• Bond American Binomial
• Bond Call Rendleman Bartter
• Bond Flat
• Bond with Term Structure
• Bond with Principal

5.15 Term structures

• Term Structure Flat
• Term Structure Cir
• Term Structure Vasicek
• Term Structure Nelson Siegel
• Term Structure Svensson
• Term Structure Cubic Spline
• Term Structure Interpolated

5.16 Misc

• PV / IRR
• Log Normal Random

5.17 pre-BSM

• Bachelier-1900
• Bachelier Modified
• Sprenkle-64
• Boness-64
• Samuelson-65

OptionMatrix
© 2013 Anthony Bradford