Financial Toolbox™

Derivatives Pricing and Yields

The pricing and yield formulas for derivative securities come from:

[5] Chriss, Neil A., "Black-Scholes and Beyond: Option Pricing Models," Chicago: Irwin Professional Publishing, 1997, ISBN 0-7863-1025-1.

[6] Cox, J., S. Ross, and M. Rubenstein, "Option Pricing: A Simplified Approach", Journal of Financial Economics 7, Sept. 1979, pp. 229 - 263.

[7] Hull, John C., Options, Futures, and Other Derivatives, Prentice Hall, 5th edition, 2003, ISBN 0-13-009056-5.

Term Structure of Interest Rates

Portfolio Analysis