FCIII-5 Derivatives on Stocks

FCIII-5 Derivatives on Stocks

The issue time for all options coincide with the initial time. The maturities and coupon, barrier, and exercise times are strictly greater than the initial time.

Options

European put

Input:
  • : the strike
  • : the maturity
Output:
  • : the
 

American put

Swing option

Straddle option

American butterfly

Down-and-rebate option

Corridor option

Barrier up-or-down-and-out option

Down-and-out American Call

Up-and-in American put

BOOST option

Asset swaption


Forwards

Forward on average spot price

Forward on average spot price under deterministic interest rates


Other Derivatives

Cross Currency Cap

Equity linked note with buy-back provision

Cancellable currency swap

Strike of variance swap

 
 
 
 

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