'Greeks' Calculator

Note 1: The underlying is assumed to follow an Arithmetic Brownian Motion

Note 2: The program is based on a Futures Option Valuation Model

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Forward Basis =
Strike Price =
Interest Rate (%) =
Time To Maturity =
Call Volatility ($) =
Put Volatility ($) =

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References

F. Black and J.C. Cox, Valuing corporate securities: some effects of bond indenture provisions, Journal of Finance, 31, 351-367 (1976)

R. Brooks, Building Financial Derivatives Applications with C++, Quorum Books (2000).

Z. Drezner. Computation of the Bivariate Normal Integral, Mathematics of Computation, 32 (January 1978), 277-79.

John Hull. Options, Futures and Other Derivatives, 6th edition, Prentice Hall (2005)

Chronology

Date || Version || Author.

3/28/07 || 1.0 || Razvan Pascalau