The WebCab Exotic Options module implements the following methods and procedures:
- Types of Options - Within this module we show explicitly how-to and offer
practical advice on the valuation of Asian, American (single and multi-asset), Lookback,
Bermuda, European (single and multi asset) and binary options using the Monty Carlo
and Finite Difference techniques.
- Finite Difference Methods - powerful method for finding solutions of the
- Single Asset Options - We provide an explicit and fully implicit
algorithms including a framework in which to measure stability issues under differing
- Crank-Nicholson - is a fast and stable method for evaluating single
asset option contracts.
- Multi-Asset - Implement a general multidimensional finite-difference
- American, Bermuda Options Modification - we apply the `Successive
Over-relaxation' technique in order to value American and Bermuda options.
- Asian and Lookback - examples of how strongly path dependent options
can be evaluated using Finite Difference methods is given.
- Monte Carlo - can be effectively applied to value a large range of option
- Flow implementation - including generation of normal variables and the
simulation of the random walk and corresponding cash flows ensures that our implementation
of this technique can be applied to value almost any option contract.
- Options on many underlying assets - Generate correlation random variable
using Cholesky factorization in order to value options contract of European type which
depend on many underlying assets.
- Control Structure - the user has full control over the number of simulations
and/or the required precision.
The WebCab Options module offers the following functionality:
- European and Binary Options - The (Analytic) Black-Scholes model is fully
implemented for European and Binary Options on stocks, currencies and indexes.
- `The Greeks' - We offer methods for the evaluation of `the Greeks' (delta,
gamma, rho, theta, vega) for European options on stocks, indexes and currencies according
to the Black-Scholes model.
- Volatility Estimates - the volatility may to estimated directly from historical
values or from one of the following models:
- ARCH - Autoregressive Conditional Heteroscedasticity model.
- EWMA - Exponentially Weighted Moving Average model.
- GARCH(1,1) - Generalized Autoregressive Heteroscedasticity model.
- Implied Volatility - Calculates the implied volatility for dividend and
non-dividend paying stocks from the Black-Scholes formulae.
- Payoff Functions - Pay off functions at expiry for European and Binary
Options are implemented.
- Put - Call Parity relations
- Put - call parity relations for European options on an asset with no
yield or a continuous yield.
- Put - call parity relations for Binary options on an asset with no yield.
- Implied risk-free interest - the implied risk free interest rate is
calculated when either the prices of put/call European or put/pull Binary option is known.
- Trading Strategies - the following pay-off functions for the following option
trading strategies are implemented.
- Spread Option Strategies - Bull Spreads, Bear Spreads and Butterfly
- Combination Option Strategies - Straddles and Strangles.
WebCab Futures module implements the following methods and procedures:
- Pricing on investment and consumption assets - Pricing of futures contracts on
stocks, bonds, indexes, currencies and commodities.
- Futures on stocks, bonds, indexes - evaluation for assets with or without
income, effective gearing.
- Futures on commodities - cost of carry, utility yield.
- Hedging - Portfolio hedging using index futures, optimal hedge ratio.
- Portfolio Hedging - delta hedge a portfolio using the beta coefficient.
- Optimal Hedge Ratio - the optimal ratio of the size of the position taken
in futures contracts and the size of the exposure.
- Future Account management - margin, daily P&L,total equity, excess margin.
- Interest calculations - return, compound interest, compounding periods conversion.
The Risk Management functionality included within this Component:
- Delta Limit Monitoring - For a portfolio (which may include Futures, Options, etc) the delta limit can be assigned and checked.
- Scenario Analysis - Allows for an asset or portfolio to be stressed and for the resulting behavior to be analyzed. We offer methods which stress the asset in any one or two of the underlying market variables.
This product also has the following feature:
- ADO Mediator - The ADO Mediator assists the .NET developer in writing DBMS enabled applications by transparently combining the financial and mathematical functionality of our .NET components with the ADO.NET Database Connectivity model.
- ASP.NET Web Application Examples - We provide an ASP.NET Web Application example which enables you to quickly test the functionality within this .NET Service.
- ASP.NET Examples with Synthetic ADO.NET - we use a ASP.NET service to perform component calculations on SQL database columns from a remote DBMS. We apply a component's function to certain rows from the database and list the output in HTML format. This is a powerful feature since it allows you to perform calculations in a DBMS manner without having to code the C#to SQL database transaction yourself as it is all done by the ASP within the .NET Framework managed server side environment.
WebCab Options for Delphi Main
WebCab Options for Delphi is electronically deliverd.
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