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GEM Derivatives Library

Project description

GEM Derivatives Library

Contents of Library

  • Options
    • Vanilla
      • Black Scholes (b = ir)
      • Merton Stock Option (b = ir - dividend yield)
      • Black76, option on Futures (b = 0)
      • Black76, fully margined options account (b = 0 and ir = 0)
      • Currency Option, b = ir - foreign risk free rate
    • Multi Asset
      • Duel Asset Spread Option
    • Barrier
      • Digital
  • Correlated Linear
    • Load Following Imbalance
    • Ancillary Imbalance

Project details

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