FX 

FX Option Garman Kohlhagen:

The FX option uses a Black Scholes model for the forward exchange rate price and incorporates all payment costs. The model depends on the continuous domestic and foreign currency zero coupon Yield Curve for discounting and the volatility to maturity can be adjusted. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. The model provides the bid / ask spread and shows for both currencies the Greeks Delta, Gamma, Vega, Theta, ITM probability, strike dependence, and varies second derivatives like Volga, Veta and Vanna. There is no provision for a maturity volatility dependence or a volatility surface.

 

FX Option Garman Kohlhagen American:

The FX option uses a Black Scholes model for the forward exchange rate and the Barone Adesi approximation to price and incorporates all payment costs. The model depends on the continuous domestic and foreign currency zero coupon Yield Curve for discounting and the volatility to maturity can be adjusted. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. The model provides the bid / ask spread and shows for both currencies the Greeks Delta, Gamma, Vega, Theta, ITM probability, strike dependence, and varies second derivatives like Volga, Veta and Vanna. There is no provision for a maturity volatility dependence or a volatility surface.