CapeTools Option Solver

• SOLVEAmericanExchangeOption - Option to exchange one asset for another.
• SOLVEAssetOrNothing - At expiry, the asset-or-nothing call option pays 0 if S is less than or equal to X and S if S is greater than X.
• SOLVEBAWAmericanApprox - Quadratic approximation method of Barone-Adesi and Whaley to price American options on an underlying asset with cost of carry rate b.
• SOLVEBSAmericanApprox - Bjerksund and Stensland approximation to price American options on stocks, futures and currencies.
• SOLVEBinaryBarrier - There are 28 different types of so-called binary options.
• SOLVEBlack76 - Modified Black-Scholes for options on forward or futures.
• SOLVECashOrNothingOption - The cash-or-nothing option pays out a cash amount K at expiry if the option is in-the-money.
• SOLVEComplexChooser - Option that gives the holder the right to choose between a call option after time t1, with time to expiration Tc and strike Xc or a put option after time t1 with time to maturity Tp and strike Xp.
• SOLVEDoubleBarrier - A double barrier option is knocked in or out if the underlying price touches a lower boundary L or upper boundary U prior to expiration.
• SOLVEEquityLinkedFXO - In an equity-linked foreign-exchange option, the quantity of the face value will be linked to the level of the forward price of a stock or equity index.
• SOLVEEuropeanExchangeOption - Option to exchange one asset for another at expiration.
• SOLVEExchangeExchangeOption - Exchange options on Exchange Options.
• SOLVEExecutive - Jennergren and Naslund Executive option.
• SOLVEExtendibleWriter - Options that can be exercised at their initial maturity date t1, but are extended to T2 if the option is out of the money at t1.
• SOLVEExtremeSpreadOption - Option on the difference between the observed maximum or minimum from two different time periods.
• SOLVEFixedStrikeLookback - Call option, the strike is fixed in advance and at expiry the option pays out the max of the difference between the highest observed price Smax and the strike X and 0.
• SOLVEFloatingStrikeLookback - Call option the right to buy the underlying security at the lowest price observed Smin, put gives the right to sell the underlying security at the highest price observed Smax.
• SOLVEForEquOptInDomCur - This is an option on foreign equity where the strike is denominated in domestic currency.
• SOLVEForwardStartOption - Starts at the money or proportionally in or out of the money after a known elapsed time into the future.
• SOLVEGBlackScholes - Generalised Black-Scholes for options including a dividend yield, or currencies or options on forward, futures.
• SOLVEGapOption - Binary options, also known as digital options, are popular in the OTC markets for hedging speculation.
• SOLVEGeometricAverageRateOption - Asian options are especially popular in the currency and commodity markets.
• SOLVEJumpDiffusion - Option model with a process different from Brownian motion (Jump diffusion distribution).
• SOLVELevyAsian - It is not possible to find a closed form solution for the valuation of options on an arithmetic average.
• SOLVELookBarrier - Look-barrier options can be regarded as a combination of a partial time barrier option and a forward starting fixed strike lookback option.
• SOLVEOptionsOnOptions - Option on a plain vanilla option, call on call, call on put, put on call, put on put.
• SOLVEOptionsOnTheMaxMin - Options on the min or max of 2 risky assets.
• SOLVEPartialFixedLB - Call option, the strike is fixed in advance and at expiry the option pays out the max of the difference between the highest observed price Smax and the strike X and 0.
• SOLVEPartialFloatLB - Call option, the right to buy the underlying security at the lowest price observed Smin, put gives the right to sell the underlying security at the highest price observed Smax.
• SOLVEPartialTimeTwoAssetBarrier - A partial-time tow-asset barrier option is similar to a standard two-asset barrier option, except that the barrier hits are monitored only for a fraction of the option's lifetime.
• SOLVEQuanto - A fixed exchange-rate foreign-equity option (Quanto) is denominated in another currency than that of the underlying equity exposure.
• SOLVESimpleChooser - Option that gives the holder the right to choose between a call or a put option after time t1 both with the same strike X and time to maturity T.
• SOLVESoftBarrier - A soft-barrier option is similar to a standard barrier option, except that the barrier is no longer a single level.
• SOLVESpreadApproximation - European call spread option on two futures contracts is max(F1-F2-X,0), European put spread option on two futures contracts is max(X-F1+F2,0).
• SOLVEStandardBarrier - In options are paid for today but first come into existence if the asset price S hits the barrier H before expiration.
• SOLVESuperShare - A SuperShare option entitles its holder to a payoff of 0 if the underlying price is between XL and XH (including the value of XH but not XL) and S/XL otherwise.
• SOLVETakeoverFXoption - A takeover foreign exchange call gives the buyer the right to buy B units of a foreign currency at the strike price X if, and only if, the corporate takeover is successful.
• SOLVETimeSwitchOption - Accumulates cash for every time unit the option is in the money.
• SOLVETurnbullWakemanAsian - It is not possible to find a closed form solution for the valuation of options on an arithmetic average.
• SOLVETwoAssetBarrier - In a two-asset barrier option, one of the underlying assets, S1, determines how much the option is in or out-of-the-money, and the other asset, S2, is linked to barrier hits.
• SOLVETwoAssetCashOrNothing - Four types of two-asset cash-or-nothing options exist : A two-asset cash-or-nothing call pays out a fixed cash amount K if asset one, S1 is above the strike X1 and asset two, S2, is above strike X2 at expiration (TypeFlag=1).
• SOLVETwoAssetCorrelation - One asset decides if the option is in or out of the money, another asset with its own strike decides the payoff.