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Options Highlights
Pricing, sensitivity analysis (the Greeks), implied volatility and implied strike price analysis for the following option pricing models: binomial, Black, Black-Scholes, jump-diffusion, Garman-Kohlhagen, Whaley-Adesi, and Roll-Geske-Whaley. The Greek coverage includes delta, omega, phi, gamma, kappa, rho, theta, and vega. In addition, there are a variety of functions for estimating volatility from market data, for example from a high-low-open-close time series. Where applicable, the functions accommodate American and European exercise, a holding cost independent of the risk free rate, multiple dividend treatments (continuous yield, constant yield, and actual cash dividends), and holiday adjustments for American options with dividends. |
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