Java FX Exotics Options Calculator

FX Exotic Options Calculator enables you to calculate Fair Values and "Greeks" of European and American vanilla options, European single and double barrier options and Binary Range "Bet" options. 
Equity Options: To price an equity option, enter dividend yield in the foreign rate field. 
Metal Options: To price a metal option, enter lease rate in the foreign rate field. 
This calculator uses the same pricing models as FOCUS and Advanced Exotics Toolkit.


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EGAR’s Model for pricing Weather HDD and CDD swaps and options

This model uses the selection of an analytical distribution function using open statistical methods of distribution function feed and then calculates the price of the derivative using Monte-Carlo method, flexibly accounting for the nuances of the statistical distribution.

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Using our Local Volatility model to calculate OEX Volatilities and Fair Values

A well-known limitation of the Black-Scholes model is that each Implied Volatility represents a single option price. Different Implied Volatilities for options on the same asset creates the Volatility "Smile". Market practice is to calculate single implied volatility for pricing and risk management needs. This single volatility is either interpolated from the smile or calculated as an average volatility. The Local Volatilities Surface allows traders to use multiple volatilities for pricing and risk management needs. Local Volatilities Surface can be used to forecast underlying asset prices at future dates.

We calculate daily and post on our web site Fair Values and Local Volatility chart for OEX options. 
Fair values are calculated with Finite Difference Model that takes account of the entire Local Volatilities Surface.


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Ioffe G, Ioffe M., Application of finite difference method for pricing barrier options.

In recent years a number of authors pointed out significant stability and convergence problems while using Cox-Ross-Rubinstein binomial method to price and hedge barrier options. Different modifications were suggested to improve the convergence and stability of the binomial method. However, as this article shows, lattice approach in general has limited stability factor when applied to barrier options. 

This paper suggests the use of the implicit finite difference approach in the pricing of barrier options with one or two barriers. This method has excellent stability and convergence to the solution of the underlying differential equation.

In this paper we illustrate the use of the implicit finite difference method and provide several numerical examples.

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Intermark Staff. Binary Range Options Tutorial

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Ioffe M., Ioffe G., Krell D. Pricing of Binary Range and Double KO Options.

This paper provides close form pricing formulas for double knock out and binary range options.

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Ioffe G. Differences in Theoretical and Actual Prices of Double Knock-out and Binary Range FX Options.

Described an approximation formula that is used by some market participants to price 2KO and Range options. 
Explained why and under which conditions this approximation formula will produce higher valuations than when using a model specifically designed for such purpose. 
Described several methods that may be useful to practitioners in static replication and hedging of 2KO and Range options. 
Provided an identity formula, that relates 2KOC and 2KOP to Range options. This identity formula may be used in a similar way as the Put/Call Parity. 


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Ioffe Mark - About a finite different method for pricing of Equity Lookback options.

We try to clarify what “finite difference method” means in the financial literature. A finite difference method in mathematics is a numerical method for solving a partial differential equation (PDE). It seems that in the financial literature it is something different. We analyze this issue using as an example the pricing of Equity Lookback options.

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Revised: Mar 21, 2006.

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