FAS123 Toolkit Comparison

OPTIONS XL Basic Plus Adv
Black-Scholes Black-Scholes-Merton for pricing European-style options (closed-form solution)
Binomial (C-R-R) Binomial lattice for pricing American and Bermudan-style options (dividend capture)
Options Lattice EB Binomial & Trinomial methods including suboptimal factor for early exercise
Option Flexible Lattice EB Flexible Lattice option pricing with varying volatility, interest and yield rates
Flexible Monte Carlo SOEB Monte Carlo option pricing with multiple suboptimal exercise factors and exit rates
ESPP Valuation Calculates the fair value of a Employee Stock Purchase Plan with price discount
SAR Valuation Calculates the fair value of a Stock Appreciation Right
Option Expected Value Method Calculates the probability of a price at each node, applies expected value method
Forward Start Black-Scholes Calculates option values using Forward Start method using exercise ratio
Gram-Charlier Option pricing assuming non-normal distribution of returns (skewness and kurtosis)
Equivalent Term Structure Calculates the equivalent volatility, interest rate and yield rate from a term structure
ESO Valuation and Attribution Provides option valuation and cost attribution using straight-line method
ESO Exercise Behavior Calculates the moneyness and time to exercise based on historical exercise behavior
Expected Term Calculates the expected term based on the SEC formula and other methods
Expected Volatility Estimates the expected volatility by weighting historical and implied volatilities
Volatility Wizard TheVolatility Wizard can be used for a detailed volatility analysis
Implied Volatility Matrix Calculates a matrix of implied volatilities for exchange-traded options
Historical Volatility Matrix Calculates a matrix of historical volatilities given a stock symbol
Peer Group Volatility Calculates the blended volatility of a peer group
Treasury Interest Rates Provides US Treasury rates dating back to 1/1/2000
Black-Scholes Illustrated Illustrates the Black-Scholes calculation from an expected value perspective
Binomial Lattice Illustrated Illustrates the calculations per node of Binomial tree (lattice)
Monte Carlo Illustrated Simulates the stock price path for the valuation of ESOs and alternative awards
Volatility Analysis Illustrated Illustrates the changes in volatility over time
Black-Scholes-Merton vs. Lattice Provides a comparison of Black-Scholes-Merton and Lattice models
Binomial Early Exercise Effect Binomial option pricing to illustrate the effect of early exercise for dividend capture
Binomial Iterations Binomial method with varying iterations
Legacy ESO Models Calculates option values using Minimum Value and Growth methods
EE Salary & Option Analysis Compares salary only vs salary plus option employee compensation plans
Option Formula Components Illustrates the component parts of the Black-Scholes and Binomial formulas
ESO Standard / Stepped / Strip Provides an example of two alternative types of ESO awards
ESO Implied Volatility Expected volatility based on the implied volatility of exchange-traded options
UTILITY XL Basic Plus Adv
Historical Volatility Volatility functions for calculating volatility from historical prices
Interest Rate Converter Converts a rate from one type to another (e.g. Bond Equivalent to Continuous)
Implied Forward Rates Calculates the implied forward interest rates from the Treasury yield curve
Skewness Calculates the degree of asymmetry of a return distribution; B-S=0
Kurtosis Calculates the degree of peakedness of a return distribution; B-S=0
Auto Correlation Calculates the autocorrelation of returns given a range of stock prices
Volatility Normality Calculates volatility, skewness and kurtosis from a given range of stock prices
Historical Data Wizard Retrieves historical price data from Yahoo! Finance using HistDataWizard
EXOTICS XL Basic Plus Adv
Alternative ESO: Average Price Option value based on the average underlying asset price for a predefined period
Alternative ESO: Barrier Options Option is price path-dependent; vests only if a certain target price is reached
Alternative ESO: Lookback Provides the right to buy an asset at the lowest price attained over the option’s life
Alternative ESO: Index (Outperformance) Exercise price varies with an index such as S&P 500 or peer group
Double Barrier Binomial Binomial lattice for pricing an option with a double barrier
Alternative ESOs Provides example of alternative or non-standard share-based payment awards