Equity Derivatives

Equity options price and sensitivities

An equity derivative is a contract whose value is at least partly derived from one or more underlying equity securities. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price Vanilla, Asian, Lookback, Barrier, and Spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

Categories

Supported Equity Derivatives
Price equity derivatives using functions for tree models, closed form, or Monte Carlo simulation
Instrument Creation
Create instruments for equity options
Price Using Tree Models
Propagate and analyze equity tree models
Price Using Closed-Form Solutions
Determine option pricing using closed-form solutions for equity derivatives
Price Using Monte Carlo Simulation
Price basket, Asian, spread, and vanilla options using Monte Carlo simulation with Longstaff-Schwartz option pricing model
Price Using Finite Differences
Price options using Alternate Direction Implicit (ADI) and Crank-Nicolson finite differences methods
Price Convertible Bonds
Convertible bond pricing with fixed or variable coupon rates
Portfolio Valuation
Manage portfolios of instruments, perform portfolio hedging and rebalancing