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ResolutionExotics - exotic option calculators

ResolutionExotics provides valuation and risk management of a wide range of exotic options written on equity, currencies, and interest rates.

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Exotic Option Types

  • Asian options
  • Single barrier and double barrier options
  • Digital (binary) options
  • Digital barrier options
  • Chooser options
  • Lookback options
  • Extendible options
  • Options on multiple assets
  • Spread options

The Exotic Options component is designed to deal with a range of "exotic" option contracts. The supported functions can be usefully split into ten main categories:

Asian Options: An Asian option has its payoff linked to the average price of an asset over a period of time. As a result, Asian options have a lower volatility than standard options and therefore cost less.

Barrier Option Functions: Barrier options are path-dependent options that are either initiated (knocked-in) or eliminated (knocked-out) upon reaching a certain barrier level.

Binary Options: Binary options, sometimes referred to as digital or bet options, are options that pay out either a fixed amount (if they expire in the money), or nothing (if they expire out of the money).

Chooser Options: Chooser Options are options that allow the holder to choose whether the option is a call or a put at some future date.

Exchange Options: Exchange options allow the holder to exchange one asset for another.

Extendible Options: Extendible options are options that can be extended by either the holder or writer of the option.

Foreign Equity Options: Foreign Equity options are options in which the underlying asset is a foreign equity.

Lookback Options: Lookback options are a type of path-dependent option. A Lookback Call (Put) allows the holder to buy (sell) the underlying asset at the lowest (highest) price reached during the term of the option.

MinMax Options: MinMax options are options on the maximum or minimum of an asset.

Spread Options: Spread options have a payoff determined by the difference between the prices of two assets and a fixed strike price.

 

 

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Free Trial

ResolutionPro is a derivative pricing library which supports the valuation, risk management and hedge accounting of derivatives & other financial instruments.

You can try ResolutionPro right now on a free trial basis.

Benefits

With ResolutionExotics you are able to;

  • Understand and model the relative value impact of embedded option features of standard financial contracts
  • Determine the potential cost savings that can be generated from using non-standard hedging instruments
  • Based on fast and efficient Monte Carlo algorithms or lattices

Exotic Option Calculator

Screen shot of a ResolutionPro Example
 
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