Stock Derivatives

Vanilla Options in the NIG model by Lewis' Algorithm

Vanilla Options by Semi-Closed Form Formula

Fader Options

Margrabe's Option

Discrete Barrier Option by the Monte Carlo Method with Multiple Control Variates

Greeks of Options under Black-Scholes Model

Continuity Correction for Discrete Barrier Options

Vanilla Option in the Jump-Diffusion Model by the Monte Carlo Method with Control Variates

Analytic Solution of Two-Step Bermudan Put Option

Analytic Solution of Compound Option

Vanilla Option by the Edgeworth Series Approximation

Discrete Asian Option by the Edgeworth Series Approximation

Vanilla Option in the Jump-Diffusion Model

Vanilla Option in the CGMY Model by Carr and Madan's Algorithm

Vanilla Option in the Normal Inverse Gaussian Model by Carr and Madan's Algorithm

Vanilla Option in the Double Exponential Model by Carr and Madan's Algorithm

Analytic Solutions of Barrier Options

Vanilla Option in the Jump-Diffusion Model by Carr and Madan's Algorithm

Vanilla Option by Carr and Madan's Algorithm

Discrete Barrier Option by the Monte Carlo Method with Control Variates

Two-Step Discrete Barrier Option

Bermudan Option in the CGMY Model by FFT Pricing

Bermudan Option in the Normal Inverse Gaussian Model by FFT Pricing

Bermudan Option in the Double Exponential Model by FFT Pricing

Bermudan Option in the Jump-Diffusion Model by FFT Pricing

Discrete Asian Option in the CGMY Model by FFT Pricing

Discrete Asian Option in the Normal Inverse Gaussian Model by FFT Pricing

Discrete Asian Option in the Double Exponential Model by FFT Pricing

Discrete Asian Option in the Jump-Diffusion Model by FFT Pricing

Discrete Barrier Option by the Trinomial Tree Method

Discrete Barrier Option by the Monte Carlo Method

American Put by the Tree Method with Control Variate

Vanilla Put by the Tree Method and Combinatorial Method

Vanilla Put by the Tree Method

Discrete Barrier Option by FFT Pricing

Bermudan Option by FFT Pricing

Implied Volatility Calculator

Exchange Option by the QMC Method

Multiple Compound Option by FFT Pricing

Rainbow Option by the QMC Method

Discrete Asian Option by FFT Pricing

Discrete Geometric Asian Option

Barrier Option by a Numerical PDE Method

Vanilla Option

Discrete Asian Option by Monte Carlo Method with Control Variates

Lookback Option by Monte Carlo Method

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Contact

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