Otyca
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Volatility Surface Calibration
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Option Pricer
Option Pricer
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Advanced Option Pricer
Advanced Option Pricer Compare
Stochastic Process
Time Changed Lévy Process
Composite Stochastic Process
R. C. Merton, 1976, Option pricing when underlying stock returns are discontinuous
S. Heston, 1993, Closed-form solution for options with stochastic volatility, with application to bond and currency options
D. B. Madan, P. Carr, and E. Chang, 1998, The variance gamma process and option pricing
P. Carr, H. Geman, D. B. Madan, and M. Yor, 2002, The Fine Structure of Asset Returns: An Empirical Investigation
S. G. Kou, 2002, A jump-diffusion model for option pricing
Misc
Tenor Calculator
Nelson Siegel
Documentation
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Price file
Upload a text file (<10MB) with synchronized underlying and option prices. You can download a delayed one from
CBOE
Yield curve, dividend schedule and borrow curve
Specify yield curve, dividend schedule and borrow curve
Yield curve
tenor(years),rate(decimal)
Dividend schedule
ex-date(YYYY-MM-DD),uncertainty(days),fixed_cash,yield(decimal)
Borrow curve
tenor(years),rate(decimal)
Settings
Specify settings
Settings
# this is YAML, in each line anything after # is ignored, indention needs to be consistent # is_european: false # Indicates whether the option is European style # is_index: false # Indicates whether the option is an index option # option_settlement_lag: 1 # Lag for the option settlement in days # underlying_settlement_lag: 1 # Lag for the underlying asset settlement in days # exercise_settlement_lag: 1 # Lag for exercise settlement in days # trade_hour_variance_fraction: 0.63 # Variance fraction during trade hours # non_trade_day_variance_fraction: 0.09 # Variance fraction during non-trade days # trade_day_non_trade_hour_variance_fraction: 0.28 # Variance fraction during trade days but outside trading hours # composite_stochastic_processes: # Composite stochastic processes (upto 3) to calibrate (beta release) # - specification: "LCIR(KOU)" # First stochastic process specification # max_n_event: 4 # Maximum number of events allowed in the process # min_tenor: 0.0 # Minimum tenor in years # max_tenor: 0.5 # Maximum tenor in years # - specification: "LCIR(MT)" # Second stochastic process specification # max_n_event: 8 # Maximum number of events allowed in the process # min_tenor: 0.0 # Minimum tenor in years # max_tenor: 2 # Maximum tenor in years
calibrate