Library

The generalized Black and Scholes option pricing formula

Asset price ( S )
60.00 60.00

Strike price ( X )
65.00 65.00

Time to maturity ( T )
0.2500 0.2500

The Black-Scholes model (French) adjusted for trading day volatility

Asset price ( S )
70.00 70.00

Strike price ( X )
75.00 75.00

Trading time ( t )
0.41 0.41

Calendar time ( T )
0.40 0.40

The Merton's jump diffusion model

Asset price ( S )
45.00 45.00

Strike price ( X )
55.00 55.00

Time to maturity ( T )
0.25 0.25

Jumps per year ( l )

3.00 3.00

American calls on stocks with known dividends

Asset price ( S )
90.00

Strike price ( X )
80.00

Time to dividend payment ( t )

0.25

The Barone-Adesi and Whaley approximation

Asset price ( S )
42.00 42.00

Strike price ( X )
40.00 40.00

Time to maturity ( T )
0.75 0.75

Fixed exchange rate foreign equity options Quantos

Fixed exchange rate ( Ep ) sset price ( S* ) A
1.50 1.50 100.00 100.00

Strike price ( X* )
105.00 105.00

Time to maturity ( T )
0.50 0.50

The Vasicek model for European options on zero coupon bonds

Face value ( F )
104.00 104.00

Strike price ( X )
81.74 81.74

Time to bond maturity ( t )

7.00 7.00

European swaptions in the Black-76 model

Tenor of swap in years ( tCompoundings per year ( m ) Underlying swap rate ( F )Strike price ( X ) 1 )
4.00 4.00 2.00 2.00 7.00% 7.00% 7.50% 7.50%

Executive stock options

Asset price ( S )
65.00 65.00

Strike price ( X )
64.00 64.00

Time to maturity ( T )
2.00 2.00

Forward start options

Asset price ( S )
60.00 60.00

Alpha ( a )
1.10 1.10

Time to maturity ( T )
1.00 1.00

Spread option approximation

Futures 1 ( F1 )
28.00 28.00

Futures 2 ( F2 )
20.00 20.00

Strike price ( X )
7.00 7.00

Time to maturity ( T )
0.2500 0.2500

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Floating strike lookback options

Asset price ( S )
120.00 120.00

Observed minimum ( Smin ) Observed maximum ( Smax ) Time to maturity ( T )

100.00 100.00 120.00 120.00 0.50 0.50

Time switch options

Asset price ( S )
100.00 100.00

Strike ( X )
110.00 110.00

Accumulated amount ( A )
5.00 5.00

Geometric average rate options (Asian)

Spot price ( S )
80.00 80.00

Average price ( SAV )

80.00 80.00

Strike price ( X )
85.00 85.00

The Turnbull and Wakeman arithmetic average approximation (Asian)

Spot price ( S )
100.00 100.00

Average price ( SAV )

110.00 110.00

Strike price ( X )
95.00 95.00

Levy's arithmetic average approximation (Asian)

Spot price ( S )
100.00 100.00

Average price ( SAV )

110.00 110.00

Strike price ( X )
95.00 95.00

Options on options
Asset price ( S )
500.00 500.00 500.00 500.00

Strike underlying option ( X1 ) Strike option on option ( X2 )

520.00 520.00 520.00 520.00 50.00 50.00 50.00 50.00

Gap options
Asset price ( S )
50.00 50.00

Strike price 1 ( X1 )
50.00 50.00

Strike price 2 ( X2 )
57.00 57.00

Writer extendible options

Asset price ( S )
80.00 80.00

Initial strike price ( X1 )Extended strike price ( X2 )

90.00 90.00 82.00 82.00

Fixed strike lookback options

Asset price ( S )
100.00 100.00

Observed minimum ( Smin ) Observed maximum ( Smax )

100.00 100.00 100.00 100.00

Partial-time floating strike lookback options

Asset price ( S )
90.00 90.00

Observed minimum ( Smin ) Observed maximum ( Smax ) Above/bellow actual extremum ( l )

90.00 90.00 90.00 90.00 1.00 1.00

Partial-time fixed strike lookback options

Asset price ( S ) Strike price ( X ) Time to start of lookback period ( maturity ( T2 ) Time to t1 )

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100.00 100.00

100.00 100.00

0.50 0.50

1.00 1.00

Cash-or-nothing options
Asset price ( S )
100.00 100.00

Strike price ( X )
80.00 80.00

Cash ( K )
10.00 10.00

Time to maturity ( T )
0.75 0.75

Asset-or-nothing options
Asset price ( S )
70.00 70.00

Strike price ( X )
65.00 65.00

Time to maturity ( T )
0.50 0.50

Risk-free rate ( r )
7.00% 7.00%

Foreign equity options struck in domestic currency

Exchange rate ( E )
1.50 1.50

Asset price ( S* )
100.00 100.00

Strike price ( X )
160.00 160.00

Time to maturity ( T )
0.50 0.50

Equity linked foreign exchange options

Exchange rate ( E )
1.50 1.50

Asset price ( S* )
100.00 100.00

Strike price ( X )
1.52 1.52

Time to maturity ( T )
0.25 0.25

Takeover foreign exchange options

Value of foreign firm ( V )Number of currency units ( B ) rate ( E ) Exchange
200.00 260.00 1.50

Strike price ( X )
1.50

Supershare options
Asset price ( S )
100.00

Lower strike ( XL )
90.00

Upper strike ( XH )
110.00

Time to maturity ( T )
0.25

European option on a stock with cash dividends

Stock price ( S )
100.00 100.00

Strike price ( X )
90.00 90.00

Time to maturity ( T )
0.75 0.75

Risk-free rate ( r )
10.00% 10.00%

Volatility ( s )

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Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

8.00% 8.00% 8.00% 8.00% 30.00% 30.00%

Call Put
c p

Value
2.1334 5.8463

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

8.00% 8.00% 8.00% 8.00% 30.00% 30.00%

Call Put
c p

Value
4.2456 6.8836

Risk-free rate ( r )
10.00% 10.00%

Volatility ( s )
25.00% 25.00%

Percent of total volatility ( g )

40.00% 40.00%

Call Put
c p

Value
0.2417 8.8838

Time to maturityRisk-free rate (Cash dividend ( D ) (T) r)

0.33 6.00% 4.00

Volatility ( s )
30.00%

Value
12.4462

The Bjerksund and Stensland approximation

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)
4.00% 4.00% -4.00% -4.00% 35.00% 35.00%

Call Put
c p

Barone-Adesi and Whaley

5.3129 4.3668

Value in domestic currency

Domestic rate ( rForeign rate ( rf ) ) Dividend yield ( q )
8.00% 8.00% 5.00% 5.00% 4.00% 4.00%

Volatility stock ( sS* )currency ( sE ) (Call Put Volatility Correlation r )

20.00% 20.00% 10.00% 10.00% 0.30 0.30 c c

Value
5.3280 5.3280

Time to option expiration ( T ) rMean reversion level ( q ) Interest rate ( ) Speed of mean reversion ( k ) Volatility ( s )
4.00 4.00 9.00% 9.00% 10.00% 10.00% 0.05 0.05 0.03 0.03

Call Put
c p

Option value
3.3219 3.5950

Risk-free rate ( r Time to maturity ( T )rate volatility ( s ) ) Swap

6.00% 6.00% 2.00 2.00 20.00% 20.00%

Call Put
c p

Value
1.7964 % 3.3206 %

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

7.00% 7.00% 4.00% 4.00% 38.00% 38.00%

Jump rate per year ( l )

0.15 0.15

Call Put
c p

Value
11.3754 7.2447

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

8.00% 8.00% 4.00% 4.00% 30.00% 30.00%

Time to forward start ( t )

0.25 0.25

Call Put
c p

Value
4.4064 8.2971

Risk-free rate ( r Volatility futures 1 ( s1 ) futures 2 ( s2 ) orrelation ( r ) ) Volatility C

5.00% 5.00% 29.00% 29.00% 36.00% 36.00% 0.42 0.42

Call Put
c p

Value
2.1670 1.1795

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Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

10.00% 10.00% 4.00% 4.00% 30.00% 30.00%

Call Put
c p

Value
25.3533 19.7245

Time to maturityNumber of time units fulfilled Dtm ) (T) Time interval ( ( )

1.00 1.00 0 0 0.00274 0.00274

Risk-free rate ( r of carry (Volatility ( s ) Cost ) b) Call Put

6.00% 6.00% 6.00% 6.00% 26.00% 26.00% c p

Value
1.3750 3.3338

Original time to maturity ( t )time to maturity ( (T )) Remaining Risk-free rate r

0.25 0.25 0.25 0.25 5.00% 5.00%

Cost of carry ( b ) ( s ) Volatility

8.00% 8.00% 20.00% 20.00%

Call Put
c p

Value
0.4819 4.6922

Time to start of average periodRemaining( time to maturity ( T2 )rate ( r of carry (Volatility ( s ) Original time to maturity T ) (t) Risk-free Cost ) b) Call Put
0.00 0.00 0.75 0.75 0.50 0.50 10.00% 10.00% 5.00% 5.00% 30.00% 30.00% c p

Value
9.1537 0.4266

Original time to maturity ( T time to maturity ( (T2 )) Remaining ) Risk-free rate r

0.75 0.75 0.50 0.50 10.00% 10.00%

Cost of carry ( b ) ( s ) Volatility

5.00% 5.00% 30.00% 30.00%

Call Put
c p

Value
9.1494 0.4231

Time to maturityTime toon optionunderlying option ( T2 ) of carry ( b ) ( s ) option maturity ( t1 ) rate ( r ) Risk-free Cost Volatility
0.25 0.25 0.25 0.25 0.50 0.50 0.50 0.50 8.00% 8.00% 8.00% 8.00% 5.00% 5.00% 5.00% 5.00% 35.00% 35.00% 35.00% 35.00%

Call Put
cc cp pc pp

Value
17.5947 18.7129 21.1965 15.2602

Time to maturityRisk-free rate (Cost of carry ( b ) (T) r)

0.50 0.50 9.00% 9.00% 9.00% 9.00%

Volatility ( s )
20.00% 20.00%

Call Put
c p

Value
-0.0053 4.4866

Initial time to maturity ( t1 )timeRisk-free rateT2r) ) Extended to maturity ( (

0.50 0.50 0.75 0.75 10.00% 10.00%

Cost of carry ( b ) ( s ) Volatility

10.00% 10.00% 30.00% 30.00%

Call Put
c p

Value
6.8238 10.3105

Strike price ( X ) Time to maturity ( T ) Risk-free rate ( r )

105.00 105.00 0.50 0.50 10.00% 10.00%

Cost of carry ( b ) ( s ) Volatility

10.00% 10.00% 20.00% 20.00%

Call Put
c p

Value
9.8905 13.0739

Length lookbackTime to ( t1 ) Risk-free rate ( r ) period maturity ( T2 )

0.25 0.25 1.00 1.00 6.00% 6.00%

Cost of carry ( b ) ( s ) Volatility

6.00% 6.00% 20.00% 20.00%

Call Put
c p

Value
13.3402 7.9153

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

Call Put

Value

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6.00% 6.00%

6.00% 6.00%

10.00% 10.00%

c p

10.6285 3.6163

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

6.00% 6.00% 0.00% 0.00% 35.00% 35.00%

Call Put
c p

Value
6.8889 2.6710

Cost of carry ( b Volatility ( s ) )

2.00% 2.00% 27.00% 27.00%

Call Put
c p

Value
48.0647 20.2069

Value in domestic currency

Domestic rate ( rDividend yield Volatility stock ( sS* ) Volatility currency ( sE ) r ) ) (q) Correlation (
8.00% 8.00% 5.00% 5.00% 20.00% 20.00% 12.00% 12.00% 0.45 0.45

Call Put
c p

Value
8.3056 15.7354

Value in domestic currency

Domestic rate ( rForeign rate ( rf ) ) Dividend yield ( q )
8.00% 8.00% 5.00% 5.00% 4.00% 4.00%

Volatility stock ( sS* )currency ( sE ) (Call Put Volatility Correlation r )

20.00% 20.00% 12.00% 12.00% -0.40 -0.40 c p

Value
2.9943 4.2089

Time to expiration ( T ) Domestic risk-free raterisk-free rate ( Stock priceExchange(rate volatility ( sE ) Foreign ( r ) rf ) volatility sV Correlation coefficient (Value ) r)
0.50 10.00% 10.00% 40.00% 12.00% 0.40 8.3644

Risk-free rate ( r Cost of carry ( Volatility ( s ) ) b)

10.00% 0.00% 20.00%

Value
0.7389

Volatility ( s )
25.00% 25.00%

Dividend payment 1 toD1 ) Time ( dividend 1 ( t1 ) ividend payment 2 ( D2 )Dividend) paymentto ( D3Call Put ( t3 ) D Time to dividend 2 ( t2 Time 3 dividend 3 )
2.00 2.00 0.25 0.25 2.00 2.00 0.50 0.50 0.00 0.00 0.00 0.00 c p

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Delta D
0.3725 -0.6275

Elasticity LGamma G Vega

10.4759 -6.4402 0.0420 0.0420 11.3515 11.3515

Theta Q
-8.4282 -3.3311

Rho r
5.0539 -10.8743

Carry
5.5872 -9.4128

Bjerksund and Stensland

5.2704 4.3613

Zero coupon bond value

57.02 57.02

Payer swaption Receiver swaption

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Call on the minimum Put on the maximum

[1] Call-on-call [2] Call-on-put [3] Put-on-call [4] Put-on-put

Call on the minimum Put on the maximum

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Option value Stock price minus NPV dividends

15.6465 2.9965 96.1469 96.1469

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1.Barriers

Standard barrier options

Barrier monitoring ? Asset price ( S ) Strike price ( X ) Barrier ( H ) Cash rebate ( K ) Time to maturity ( T ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Adjusted barrier Value

100.00 100.00 115.00 3.00 0.50 8.00% 4.00% 20.00% 115.00 7.3508

2 [1] Down-and-in call [2] Up-and-in call [3] Down-and-in put [4] Up-and-in put [5] Down-and-out call [6] Up-and-out call [7] Down-and-out put [8] Up-and-out put 1 Continuously Hourly Daily Weekly Monthly

cui cdi cui pdi pui cdo cuo pdo puo 0.0000 0 0.00011416 0.00273973 0.01923077 0.08333333

Partial-time singel asset barrier options

Barrier monitoring ? Asset price ( S ) Strike price ( X ) Barrier ( H ) Time to maturity ( t1 ) Time to maturity ( T2 ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Adjusted barrier Value

105.00 90.00 115.00 0.35 0.50 10.00% 5.00% 20.00% 118.93 0.6394

3 [1] Up-and-out call type A (H>S) [2] Down-and-out call type A (H<S) [3] Up-and-out put type A (H>S) [4] Down-and-out put type A (H<S) [5] Out call type B1 [6] Out put type B1 [7] Up-and-out call type B2 (H>S) [8] Down-and-out call type B2 (H<S) [9] Up-and-out put type B2 (H>S) [10] Down-and-out put type B2 (H<S) 5 Continuously Hourly Daily Weekly Monthly

puoA cuoA cdoA puoA pdoA coB1 poB1 cuoB2 cdoB2 puoB2 pdoB2 0.0833 0 0.0001 0.0027 0.0192 0.0833

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1.Barriers

Double barrier options

Barrier monitoring ? Asset price ( S ) Strike price ( X ) Lower barrier ( L ) Upper barrier ( U ) Time to maturity ( T ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Upper curvature ( d1 ) Lower curvature ( d2 ) Adjusted lower barrier Adjusted upper barrier Value

100.00 100.00 90.00 105.00 0.25 10.00% 10.00% 25.00% 0.00 0.00 90.00 105.00 0.1179

2 po [1] Call up-and-out-down-and-out co [2] Put up-and-out-down-and-out po [3] Call up-and-in-down-and-in ci [4] Put up-and-in-down-and-in pi 1 0.0000 Continuously 0 Hourly 0.000114 Daily 0.00274 Weekly 0.019231 Monthly 0.083333

Two asset barrier options

Barrier monitoring ? Asset 1 ( S1 ) Asset 2 ( S2 ) Strike price ( X ) Barrier ( H ) Time to maturity ( T ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Adjusted barrier Value

100.00 100.00 95.00 90.00 0.50 8.00% 0.00% 0.00% 20.00% 20.00% 0.50 89.45 5.8874

5 cdo [1] Down-and-in call cdi [2] Up-and-in call cui [3] Down-and-in put pdi [4] Up-and-in put pui [5] Down-and-out call cdo [6] Up-and-out call cuo [7] Down-and-out put do p [8] Up-and-out put puo 3 0.0027 Continuously 0 Hourly 0.0001 Daily 0.0027 Weekly 0.0192 Monthly 0.0833

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2.Barriers

Partial-time two asset barrier options

Barrier monitoring ? Asset 1 ( S1 ) Asset 2 ( S2 ) Strike price ( X ) Barrier ( H ) Barrier lifetime ( t1 ) Time to maturity ( T 2 ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Adjusted barrier Value 100.00 100.00 95.00 90.00 0.25 0.50 8.00% 0.00% 0.00% 20.00% 20.00% 0.50 90.00 6.5078 5 [1] Down-and-in call [2] Up-and-in call [3] Down-and-in put [4] Up-and-in put [5] Down-and-out call [6] Up-and-out call [7] Down-and-out put [8] Up-and-out put 1 Continuously Hourly Daily Weekly Monthly cdo cdi cui pdi pui cdo cuo pdo puo 0.0000 0 0.0001 0.0027 0.0192 0.0833

Soft-barrier options
Asset price ( S ) Strike price ( X ) Lover barrier level ( L ) Upper barrier level ( U ) Time to maturity ( T ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Value 100.00 100.00 95.00 85.00 0.50 10.00% 5.00% 30.00% 7.2496 2 [1] Down-and-in call [2] Down-and-out call [3] Up-and-in put [4] Up-and-out put cdo cdi cdo pui puo

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2.Barriers

Look-barrier options

Barrier monitoring ? Asset price ( S ) Strike price ( X ) Barrier ( H ) Barrier lifetime ( t1 ) Time to maturity ( T 2 ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) 100.00 105.00 110.00 0.50 1.00 10.00% 10.00% 30.00% 1 cuo [1] Up-and-out call (H>S) cuo [2] Up-and-in call (H>S) cui [3] Down-and-out put (H<S) pdo [4] Down-and-in put (H<S) pdi 1 0.0000 Continuously 0 Hourly 0.0001 Daily 0.0027 Weekly 0.0192 Monthly 0.0833

Adjusted barrier Value

110.00 2.0328

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BinaryBarrier

Binary barrier options

Barrier monitoring ? Asset price ( S ) Strike price ( X ) Barrier ( H ) Cash ( K ) Time to maturity ( T ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Adjusted barrier Value

105.00 102.00 100.00 15.00 0.50 10.00% 10.00% 20.00% 100.00 40.1574

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BinaryBarrier

11 Binary Barrier Options [1] Down-and-in cash-(at-hit)-or-nothing (S>H) [2] Up-and-in cash-(at-hit)-or-nothing (S<H) [3] Down-and-in asset-(at-hit)-or-nothing (K=H) (S>H) [4] Up-and-in asset-(at-hit)-or-nothing (K=H)(S<H) [5] Down-and-in cash-(at-expiry)-or-nothing (S>H) [6] Up-and-in cash-(at-expiry)-or-nothing (S<H) [7] Down-and-in asset-(at-expiry)-or-nothing (S>H) [8] Up-and-in asset-(at-expiry)-or-nothing (S<H) [9] Down-and-out cash-(at-expiry)-or-nothing (S>H) [10] Up-and-out cash-(at-expiry)-or-nothing (S<H) [11] Down-and-out asset-(at-expiry)-or-nothing (S>H) [12] Up-and-out asset-(at-expiry)-or-nothing (S<H) [13] Down-and-in cash-(at-expiry)-or-nothing call (S>H) [14] Up-and-in cash-(at-expiry)-or-nothing call (S<H) [15] Down-and-in asset-(at-expiry)-or-nothing call (S>H) [16] Up-and-in asset-(at-expiry)-or-nothing call (S<H) [17] Down-and-in cash-(at-expiry)-or-nothing put (S>H) [18] Up-and-in cash-(at-expiry)-or-nothing put (S<H) [19] Down-and-in asset-(at-expiry)-or-nothing put (S>H) [20] Up-and-in asset-(at-expiry)-or-nothing put (S<H) [21] Down-and-out cash-(at-expiry)-or-nothing call (S>H) [22] Up-and-out cash-(at-expiry)-or-nothing call (S<H) [23] Down-and-out asset-(at-expiry)-or-nothing call (S>H) [24] Up-and-out asset-(at-expiry)-or-nothing call (S<H) [25] Down-and-out cash-(at-expiry)-or-nothing put (S>H) [26] Up-and-out cash-(at-expiry)-or-nothing put (S<H) [27] Down-and-out asset-(at-expiry)-or-nothing put (S>H) [28] Up-and-out asset-(at-expiry)-or-nothing put (S<H) 1 Continuously Hourly Daily Weekly Monthly eta

1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 1 -1 0.0000 0 0.0001 0.0027 0.0192 0.0833

1 phi A5 A5 A5 A5 B2+B4 B2+B4 A2+A4 A2+A4 B2-B4 B2-B4 A2-A4 A2-A4 B3 B1 A3 A1 B2-B3+B4 B1-B2+B4 A2-A3+A4 A1-A2+A3 B1-B3 0 A1-A3 0 B1-B2+B3-B4 B2-B4 A1-A2+A3-A4 A2-A4 A5 A5 A5 A5 B2+B4 B2+B4 A2+A4 A2+A4 B2-B4 B2-B4 A2-A4 A2-A4 B1-B2+B4 B2-B3+B4 A1-A2+A4 A2-A3+A4 B1 B3 A1 A3 B2-B4 B1-B2+B3-B4 A2-A4 A1-A2+A3-A4 0 B1-B3 0 A1-A3

-1 1 -1 1 1 -1 1 -1 1 1 1 1 -1 -1 -1 -1 1 1 1 1 -1 -1 -1 -1

Page 15

Exchange

Exchange options on exchange options

Asset 1 ( S1 ) Asset 2 ( S2 ) Quantity of asset 2 ( Q ) Time to maturity ( t1 ) Time to maturity underlying option ( T2 ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Value

105.00 100.00 10.00% 0.75 1.00 10.00% 10.00% 10.00% 20.00% 25.00% 0.50 4.3166

2 1 2 3 4

Option to exchange one asset for another Asset 1 ( S1 ) Asset 2 ( S2 ) Quantity of asset 1 ( Q1 ) Quantity of asset 2 ( Q2 ) Time to maturity ( T ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) European value American value 101.00 104.00 1.000 1.000 0.50 10.00% 2.00% 4.00% 18.00% 12.00% 0.80 1.5260 1.5558

Side 16

Exchange

[1] Option to exchange Q*S2 for the option to exchange S2 for S1 [2] Option to exchange the option to exchange S2 for S1 in return for Q*S 2 [3] Option to exchange Q*S2 for the option to exchange S1 for S2 [4] Option to exchange the option to exchange S1 for S2 in return for Q*S 2

Two asset correlation options

Asset 1 ( S1 ) Asset 2 ( S2 ) Strike price one ( X1 ) Strike price two ( X2 ) Time to maturity ( T ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Digital correlation

52.00 65.00 50.00 70.00 0.5000 10.00% 10.00% 10.00% 20.00% 30.00% 0.75 3.9093

p 2 Call Put

Side 17

.ExtremeSpread

Extreme spread options

Asset price ( S ) Observed minimum ( Smin ) Observed maximum ( Smax ) First time period ( t1 ) Time to maturity ( T2 ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Value

100.00 80.00 120.00 0.25 1.00 10.00% 10.00% 30.00% 13.5892

1 [1] Extreme spread call [2] Extreme spread put [3] Reverse extreme spread call [4] Reverse extreme spread put

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TwoAssetCashOrNothing

Two asset cash-or-nothing options

Asset 1 ( S1 ) Asset 2 ( S2 ) Strike price 1 ( X1 ) Strike price 2 ( X2 ) Cash ( K ) Time to maturity ( T ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Value

100.00 100.00 110.00 90.00 10.00 0.5000 10.00% 5.00% 6.00% 20.00% 25.00% 0.50 2.4987

1 [1] Cash-or-nothing call [2] Cash-or-nothing put [3] Cash-or-nothing up-down [4] Cash-or-nothing down-up

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RiskyAssets

Options on the maximum or the minimum of two risky assets

Asset 1 ( S1 ) Asset 2 ( S2 ) Strike price ( X ) Time to maturity ( T ) Risk-free rate ( r ) Carry asset 1 ( b1 ) Carry asset 2 ( b2 ) Volatility asset 1 ( s1 ) Volatility asset 2 ( s2 ) Correlation ( r ) Value

100.00 105.00 98.00 0.50 5.00% -1.00% -4.00% 11.00% 16.00% 0.63 2.9340

1 [1] Call on the minimum [2] Call on the maximum [3] Put on the minimum [4] Put on the maximum

cmin cmin cmax pmin pmax

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Chooser

Chooser options
Simple chooser
Asset price ( S ) Strike price ( X ) Chooser time ( t1 ) Time to maturity ( T2 ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Value 50.00 55.00 0.25 0.50 8.00% 8.00% 25.00% 6.6061

Complex chooser
Asset price ( S ) Strike price call ( XC ) Strike price put ( XP ) Chooser time ( t ) Time to maturity call ( TC ) Time to maturity put ( TP ) Risk-free rate ( r ) Cost of carry ( b ) Volatility ( s ) Value 50.00 55.00 48.00 0.25 0.50 0.5833 10.00% 5.00% 35.00% 6.0508

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MiltersenSchwartz

The Miltersen and Schwartz commodity option model (Gaussian case)

Price of zero coupon bond ( Pt ) Futures price ( FT ) Strike price ( X ) Time to option maturity ( t ) Time to future contract maturity ( T ) Volatility of the spot commodity price ( s S ) Volatility of future convenience yield ( se ) Volatility of the forward interest rate ( s f ) Correlation commodity price and convenience yield ( r Se ) Correlation commodity price and forward rate ( r Sf ) Correlation convenience yield and forward rate ( ref ) Speed of mean reversion convenience yield ( ke ) Speed of mean reversion forward rates ( kf ) Value 0.9753 95.00 95.00 0.50 1.00 0.2660 0.2490 0.0096 0.8050 0.0964 0.1243 1.0450 0.2000 4.7245 c 1 Call Put

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