BachelierImpvol |
Calculate Bachelier model implied volatility |
BachelierPrice |
Calculate Bachelier model option price |
BlackScholesImpvol |
Calculate Black-Scholes implied volatility |
BlackScholesPrice |
Calculate Black-Scholes option price |
CevMassZero |
Calculate the mass at zero under the CEV model |
CevPrice |
Calculate the constant elasticity of variance (CEV) model option price |
Nsvh1Choi2019 |
Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019) |
SabrHagan2002 |
Calculate the equivalent BS volatility (Hagan et al. 2002) for the Stochatic-Alpha-Beta-Rho (SABR) model |
SpreadBachelier |
Spread option under the Bachelier model |
SpreadBjerksund2014 |
Spread option pricing method by Bjerksund & Stensland (2014) |
SpreadKirk |
Kirk's approximation for spread option |
SwitchMargrabe |
Margrabe's formula for exhange option price |