Evaluation of the present value of European options on equities, equity indexes and currencies Black-Scholes model.
For a list of all members of this type, see EuropeanEvaluation Members.
System.Object
EuropeanEvaluation
That is, we price the option contract assuming that the volatility, risk free interest rate are fixed during the option life and the underlying asset price change are distributed according to a lognormal distribution. We also considered the evaluation of an Option on Futures in accordance with the Black-76 Model, as detailed within the paper: F.Black, 'The Pricing of Commodity Contracts', Journal of Financial Economics, 3, March 1976, p167-79.
Namespace: WebCab.COM.Finance.Options
Assembly: WebCab.COM.Options (in WebCab.COM.Options.dll)
EuropeanEvaluation Members | WebCab.COM.Finance.Options Namespace