Deriscope

The Excel Derivatives Periscope

Products

Model[Multi_Asset_Option]__Pricing_Method

Pricing Method refers to List of available pricing methods.
Available Pricing Method types:
BlenmanClark
Arbitrage-free analytical formula for pricing primarily European options of type
Power Exchange Option
The Power Exchange Option price is given by
V(S1,S2,t,r,ρ,σ1,σ2,δ1,δ2;λ1,λ2,α1,α2) = Y1*N(d1) - Y2*N(d2)
where
S1 is the initial price of the first underlying
S2 is the initial price of the second underlying
t is the time to option expiry in annual units
r is the effective flat continuously compounded interest rate.
ρ is the flat correlation between the two underlying prices.
σ1 is the flat lognormal volatility of the price of the first underlying.
σ2 is the flat lognormal volatility of the price of the second underlying.
δ1 is the flat continuously compounded dividend yield of the first underlying.
δ2 is the flat continuously compounded dividend yield of the second underlying.
d1 = {ln[(λ1*S1^α1)/(λ2*S2^α2)] + [α1(r-δ1)-α2(r-δ2)-α1(1-α1)σ1²/2+α2(1-α2)σ2²/2+υ²/2]t}/(υt^½)
d2 = d1 - υt^½
υ² = α1²σ1²+α2²σ2²-2α1*α2*σ1*σ2*ρ
Y1 = λ1*S1^α1*exp{[(α1-1)r-α1*δ1-α1(1-α1)σ1²/2]t}
Y2 = λ2*S2^α2*exp{[(α2-1)r-α2*δ2-α2(1-α2)σ2²/2]t}
and N(.) denotes the cumulative standard normal distribution function.

The following features are currently not supported:
American exercise, barriers, discrete dividends/storage costs.
Fd2dBlackScholesVanilla
Corresponds to the QuantLib Fd2dBlackScholesVanilla Engine.
Two dimensional finite-differences Black Scholes vanilla option engine.
Kirk
Corresponds to the QuantLib Kirk Engine.
Pricing engine for spread option on two futures.
The formula is from "Correlation in the Energy Markets", E. Kirk, Managing Energy Price Risk, London: Risk Publications and Enron, pp. 71-78.
MCAmericanBasket
Corresponds to the QuantLib MCAmericanBasket Engine.
Least-square engine for American basket options using Monte Carlo simulation.
Warning: This method is intrinsically weak for out-of-the-money options.
MCEuropeanBasket
Corresponds to the QuantLib MCEuropeanBasket Engine.
Pricing engine for European basket options using Monte Carlo simulation.
Stulz
Corresponds to the QuantLib Stulz Engine.
Pricing engine for 2D European Baskets.
The formula is from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.