Equity Black - Scholes Option Model - European:

The traditional Black Scholes model in C# which creates the excel add-in. The model also presents the black model for futures providing the bid / ask spread and shows the Greeks (Delta, Gamma, Vega, theta, probability in the money, strike dependence and varies second derivatives like Volga and Vanna). The Excel add-in is incorporated directly for quick use with excel and a testing spreadsheet. The model uses a continuous zero coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. No provision for a maturity volatility dependence or a volatility surface or actual dividend payments (please see later models).

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Equity Black - Scholes Option Model - American:

Includes the full Black Scholes European model The American feature is estimated by the Black, Adesi, Whaley approximation. The traditional Black Scholes model in C# which creates the excel add-in. The model provides the bid / ask spread and shows the Greeks (Delta, Gamma, Vega, Theta, probability in the money, strike dependence and varies second derivatives like Volga and Vanna). The Excel add-in is incorporated directly for quick use with a data and testing spreadsheet. The model uses a continuous zero coupon Yield Curve, a continuous dividend yield, a constant volatility to maturity but maturity volatility dependence / volatility surface & actual dividend payments (please see later models)

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Equity Future Model Using Real Dividends: Includes the full Black Scholes European model

This model is based on the Black future model in C# which creates also the Excel add-in. The model provides the bid / ask spread and shows the Greeks (Delta, Gamma, Vega, Theta, ITM probability, strike dependence, and varies second derivatives like Volga and Vanna). The Excel add-in is incorporated directly for quick use with a data and a testing spreadsheet. The model uses a continuous zero coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. For Equity, there is no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity and Equity future positions.

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Equity Asian Model: Includes the full Black Scholes European add-in model The option model pays on a combination of last price and averages over the entire period using three methods. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments. There is no provision for a maturity volatility dependence or a volatility surface. For Equity, there is no provision for actual dividend payments (please see later models).

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Black Scholes Margrabe: Includes the full Black Scholes European model. Exchange option model for asset 1 and asset 2 at maturity. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments. The Excel add-in is incorporated directly for quick use with a data. The model uses a continuous zero coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. For Equity, there is also no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity combinations.

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Equity Black Scholes Lookback (fixed + floating): Includes the full Black Scholes Option Equations This option calculates the max of an asset price against a strike (fixed) or against today's option prices. The option uses a continuous zero coupon Yield Curve, a continuous dividend Yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. For Equity, there is also no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity positions or equity structures.

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Equity Black Scholes Exchange Option:

Option pays call: max[ s1(t) - s2(t) - k, 0], put: max[ k + s2(t) - s1(t), 0] in an exact method and a Margrabe approximation using three methods. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments.

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Equity Black Scholes Knock out / Knock in:

Option pays call and put contract assuming that the Equity asset has not touched a specified barrier. The rebates on no touch have also been provided. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments.

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Equity Black Scholes Binary:

Option pays a notional on a combination of maturity price and strike the model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments.

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Equity Black Scholes Double Knock out/Knock in:

Option pays a notional on a combination of maturity price, strike and two barriers. Once one of the barriers have been touched the in option pays off while the out option pays when the barriers are not touched. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments.

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Equity Black Scholes Accrual Up/Down:

Option pays fraction of a notional (or notional itself) when hitting a barrier downward. The model has continuous zero coupon Yield Curve, continuous dividend yield, a constant volatility to maturity. No provision for a maturity volatility dependence, volatility surface or actual dividend payments.

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Equity Black Scholes Corridor:

This option uses a continuous zero coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. For Equity, there is also no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity positions or equity structures.

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