WORKSPACES

Derivatives Pricing

Professional derivatives pricing environment. Black-Scholes, binomial trees, Monte Carlo simulation, and volatility surface modeling.

BLACK-SCHOLES FORMULA
C = S · N(d₁) − K · e−rT · N(d₂)
where d₁ = [ln(S/K) + (r + σ²/2)T] / σ√T and d₂ = d₁ − σ√T

Pricing Models

Black-Scholes-Merton

Closed-form European option pricing with full Greeks computation.

  • Calls and puts
  • All Greeks analytically
  • Implied volatility solver

Binomial Trees

CRR and LR lattice models for American-style exercise.

  • American options
  • Early exercise boundary
  • Convergence analysis

Monte Carlo

Path-dependent and exotic option pricing via simulation.

  • Asian options
  • Barrier options
  • Lookback options

Volatility Surface

SABR, SVI, and spline-based vol surface modeling.

  • Smile calibration
  • Term structure
  • Arbitrage-free

Interest Rate Models

Hull-White, Vasicek, and CIR for rate derivatives.

  • Caps and floors
  • Swaptions
  • Bond options

Local Volatility

Dupire local vol and Heston stochastic vol models.

  • Exotic pricing
  • Smile dynamics
  • Forward skew

Greeks Dashboard

Δ
Delta
Price sensitivity
Γ
Gamma
Delta curvature
Θ
Theta
Time decay
V
Vega
Vol sensitivity
ρ
Rho
Rate sensitivity

Supported Products

European Options Calls and puts with fixed exercise date AVAILABLE
American Options Early exercise via binomial lattice AVAILABLE
Barrier Options Knock-in, knock-out, up, down AVAILABLE
Asian Options Average price and average strike AVAILABLE
Digital Options Cash-or-nothing, asset-or-nothing AVAILABLE
Spread Options Multi-asset payoffs AVAILABLE

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Access professional-grade derivatives pricing tools with complete documentation.

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