Pricing Option

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Monte Carlo option model - A Monte Carlo model, in its most general description, includes any method of estimating a value by the random generation of numbers and statistical principles. As a way of pricing or valuing options, Monte Carlo option models use a pseudo-random sequence, one that will be random enough the simulate a range of outcomes yet deterministic enough to reproduce when necessary.

Black model - The Black model (sometimes known as the Black-76 model) is a variant the Black-Scholes option pricing model. It is widely used in the futures market and interest rate market for pricing bond options.

Credit default option - In finance, a default option or credit default option is an option to buy protection (payer option) or sell protection (receiver option) as a credit default swap on a specific reference credit with a specific maturity. The option is usually european, excercisable only at one date in the future at a specific strike price defined as a coupon on the credit default swap.

Valuation of options - Option contracts are complex to value. There are various common pricing models in use:

Suggested Web Sites

Yang Yuxin's Option Page - Explains both basic option concepts and exotic options. Provides a free Java Swing Applet option calculator for option pricing. Includes a glossary of option and derivatives terminology.

Options Strategy Analysis Tools - Free software tools for option price calculation using the Black-Scholes and binomial models, the analysis of trading strategies using payoff diagrams, and the graphical analysis of "Greeks ...

ATOM - Advanced Tool for Option Modelling - Provides derivative pricing and structuring information. Includes ATOM, an advanced free option pricing tool.

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