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Options/CF

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Categories: Miscellaneous

Latest version: 5.01
Added 2005-10-14

Financial options pricing and analysis component for mobile devices.

This component implements a number of option pricing and analysis functions and is intended for developing Windows Mobile applications running on the Pocket PC.
Use Options/CF to calculate option prices for European and American options, analyse options sensitivities or compute implied volatility.
Options/CF provides a range of functions for options pricing and analysis, including implied volatility analysis, compute the volatility smile, find the "greeks" - Delta, Gamma, Theta, Vega, Rho. European and American options can be analyzed using the Black-Scholes option pricing formula, Binomial options pricing methods (Cox-Ross-Rubinstein), Black method for futures or any of the other methods listed below.
These option pricing algorithms provide a method of determining the call and put prices for European and American options, greeks, implied volatility and volatility skew for both call and put options is also available.

Options/CF includes a number of popular models for estimating the theoretical option prices and contains the following models: Black-Scholes-Merton (allows for dividend yields); Black-76 (Futures); Cox-Ross-Rubinstein (Binomial); Bjerksund-Stensland (fast estimation of American options); Barone-Adesi-Whaley; Garman-Kohlhagen (used to price European currency options); Roll-Geske-Whaley; French-84 (allows for the effect of trading days); Merton jump diffusion; Historical volatility (estimate volatility using raw price data).

Built for .NET
Built for .NET
Built for the Compact Framework
Built for the Compact Framework
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Library

Options/NET

 Home Page Home Page

Categories: Miscellaneous

Latest version: 5.02
Added 2005-10-14

Financial options pricing and analysis component.

Use Options/NET to calculate option prices for European and American options, analyse options sensitivities or compute implied volatility.
Options/NET includes a number of popular models for estimating the theoretical option prices and contains the following models: Black-Scholes-Merton (allows for dividend yields); Black (1976 Modification for Futures); Cox-Ross-Rubinstein (Binomial); Bjerksund-Stensland (fast estimation of American options); Barone-Adesi-Whaley; Garman-Kohlhagen (used to price European currency options); Roll-Geske-Whaley; French-84 (allows for the effect of trading days); Merton jump diffusion; Historical volatility (estimate volatility using raw price data)

These option pricing algorithms provide a method of determining the call and put prices for European and American options, greeks, implied volatility and volatility skew for both call and put options is also available.

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