Monday, April 13, 2009

Binary Option Calculator Published

Binary Option Calculator is for advanced options traders. Calculate option prices and Greeks for discontinuous payoff functions.

Can price any combination of:
  • Calls or Puts
  • European or American style
  • Cash-or-nothing or Asset-or-nothing
  • Option value or Implied vol.
European options are priced analytically, but American options are priced on a Crank-Nicholson SOR finite difference model. Computations on the G1 is generally fast, typically less than 10 seconds, but in some cases where the solution is near boundaries or the amplification error is large, it may take up to 30 seconds to converge.

Implied vol is calculated using the standard Newton-Raphson iteration.

You can enter your own volatility estimates or calibrate the underlying to market data using two methods, a simple sample variance or the Garman-Klass Open/Hi/Lo/Close estimate.

Comments/suggestions/criticisms/force close reports are welcome.

Download here:

Download from Softpedia