Highlights:

• American and European calls and puts
• modified Black-Scholes pricing model
• binomial pricing model
• MacMillan and Barone-Adesi and Whaley pricing model
• Roll, Geske and Whaley pricing model
• Jump-diffusion pricing model
• 1st and 2nd order price sensitivities including delta, gamma, theta, rho, and kappa
• holding cost adjustment to allow options on:
  • equities
  • futures (Black model)
  • bonds
  • commodities
  • foreign currency (Garman-Kohlhagen model)

  
  

• FASB compliant for employee stock options
• three dividend adjustment methods for equity options
• implied and historical volatility

See the List of Functions