Otyca
Demo
Volatility Surface Calibration
Bring Your Own Data
History
Option Pricer
Option Pricer
Option Pricer Compare
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
Contact Us
Stochastic Process
Brownian Motion
Sigma
Merton
Lambda
Mu
Sigma
Direct Integration
Grid size
Plot Control
Fixed tenor
Fixed strike
Tenor range
Strike range
Strike type
Relative Strike
Log Relative Strike
Standard Deviation
Delta
Dependent variable
Volatility
PDF
Price
Calculate
Plot
Table