Java Quant

            Financial Quantitative Algorithms

Financial Quantitative Algorithms

    There are a wide range of Financial Options that can be valued by means of closed analitical expression, please check the links for the references.

 

Closed expressions and Approximate Models for options on Equity

 

Black Scholes Merton (BSM) European(E) Call and Put Analytic Pricer
Barone Adesi Whaley approximation (BAW) American(A) Call and Put Analytic Pricer
Closed form based on BSM Cash or Nothing Call and Put (E) Analytic Pricer
Closed form based on BSM Asset or Nothing Call (E) Analytic Pricer
Closed form based on BSM Look Back Call and Put (E) Analytic Pricer
Closed form based on BSM Asian Option (geometric average) Call and Put Analytic Pricer

 


www.javaquant.net © 2006 H. Aliaga. Design by Cesar.
XHTML 1.0 Strict