5 Models supported ¶
The OptionMatrix programs support the following models:
- BSM
- American Options
- Single Asset Options
- Two Asset Options
- Jump Diffusion
- Trees & Finite Differences
- Monte Carlo
- Discrete Dividend
- Currency
- Futures
- Interest Rate Derivatives
- Asian
- Implied Volatility
- Bonds
- Term structures
- Misc
- Pre-BSM
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
5.6 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
5.13 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
5.17 Pre-BSM ¶
- Bachelier-1900
- Bachelier Modified
- Sprenkle-64
- Boness-64
- Samuelson-65
OptionMatrix
© 2013 Anthony Bradford