Home Page
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 the Compact Framework |
Library |