Option Pricer

The Quant Express libraries contain a unified derivatives pricing framework supporting a great deal of derivatives including but not restricting to Vanilla, American, Digitals, Barriers, Power, Fixed and Floating Strike Lookback, Continuous and Discrete Asian Options. The completely generic framework makes it possible to automatically generate the User Interface by discovering during runtime all the properties of the derivatives and pricers. This genericity also makes it extremely simple to use the class: "one method fits all".

Whenever possible the four methods: Closed Form Solutions, Trees, PDEs, Monte Carlo Simulations have been implemented. From the libraries user's point of view, changing from one pricing method to another can be done in a simple, transparent and efficient way. Some models use a constant volatility (e.g. Black & Scholes), other a stochastic Volatility (e.g. Heston) and some a volatility surface (or smile or curve).

This online demo only show a few possibilities of what is supported. To get a more comprehensive demo please download our Desktop Demo application . Please refer to our Documentation  to find out what are the options and their parameters if need be.