Glossary

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Fourier option pricer

The applet below uses Fourier transform techniques to price European put and call options as well as Digital put and call options for various models.
The values in the white fields are possible to change. Just change the number and press RETURN and the price and the Greeks will be updated. To change model just use the model Combo box etc ..
The information text on the top gives a short description of the model dynamics the different parameters and their allowed values.
The implied volatility and implied Black-Scholes greeks can be obtained by choosing Greek type="Imp. vol impl. Black-Scholes Greeks". Note that the implied volatility and implied Black-Scholes greeks are only available for European put and call options. The reason for this is that there is not a unique solution to the implied volatility equation for digital options.

Copyright (C) Magnus Wiktorsson 2009

 

Questions: Magnus Wiktorsson
Last update: 2010 Oct 26 09:46:06. Validate: HTML CSS

Top of page
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)