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Options/NET

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Categories: Miscellaneous

Author: Windale Technologies

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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