Price Using Closed-Form Solutions

Price spread, Asian, forwards, and futures options using closed-form solutions

Functions

spreadbykirk Price European spread options using Kirk pricing model
spreadsensbykirk Calculate European spread option prices and sensitivities using Kirk pricing model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadsensbybjs Calculate European spread option prices and sensitivities using Bjerksund-Stensland pricing model
asianbykv Prices European geometric Asian options using Kemna-Vorst model
asiansensbykv Calculate prices and sensitivities of European geometric Asian options using Kemna-Vorst model
asianbylevy Price of European arithmetic Asian options using Levy model
asiansensbylevy Calculate prices and sensitivities of European arithmetic Asian options using Levy model
lookbackbycvgsg Calculate prices of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
lookbacksensbycvgsg Calculate prices and sensitivities of European lookback options using Conze-Viswanathan and Goldman-Sosin-Gatto models
optstockbyblk Price options on futures and forwards using Black option pricing model
optstocksensbyblk Determine option prices and sensitivities on futures and forwards using Black pricing model
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