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
- Vanilla
- Correlated Linear
- Load Following Imbalance
- Ancillary Imbalance
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