Bowmain Consulting

Hobhouse - American

Part of Project Denning

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European Call

Description

A European Call can only be exercise at maturity. The payout is max(S - K, 0) where S is the value of the underlying at maturity and K is the strike of the option. A European Call is worthless at maturity if the value of the underlying is less than the strike.

Interfaces

Models must support IEuropeanCall.

Models

The following models are available.

1. Analytic formula (Black-Scholes)
2. Binomial Tree
3. Monte-Carlo
4. Explicit Finite Differences
5. Implicit Finite Differences
6. Crank Nicolson
7. SOR

European Put

Description

A European Put can only be exercise at maturity. The payout is max(K - S, 0) where S is the value of the underlying at maturity and K is the strike of the option. A European Put is worthless at maturity if the value of the underlying is less than the strike.

Interfaces

Models must support IEuropeanPut.

Models

The following models are available.

1. Analytic formula (Black-Scholes)
2. Binomial Tree
3. Monte-Carlo
4. Explicit Finite Differences
5. Implicit Finite Differences
6. Crank Nicolson
7. SOR

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