This is the command EquityOption that can be run in the OnWorks free hosting provider using one of our multiple free online workstations such as Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator
PROGRAM:
NAME
EquityOption - Example of using QuantLib to value equity options
SYNOPSIS
EquityOption
DESCRIPTION
EquityOption is an example of using QuantLib.
For a given set of option parameters, it computes the value of three different equity
options types (with european, bermudan and american exercise features) using different
valuation algorithms.
The calculation methods are Black-Scholes (for european options only), Barone-Adesi/Whaley
(american-only), Bjerksund/Stensland (american), Integral (european), Finite differences,
Binomial Jarrow-Rudd, Binomial Cox-Ross-Rubinstein, Additive equiprobabilities, Binomial
Trigeorgis, Binomial Tian, Binomial Leisen-Reimer, crude Monte Carlo (european-only) and
Sobol-sequence Monte Carlo (european-only).
Use EquityOption online using onworks.net services