OPTIONS XL | Basic | Plus | Adv | ||
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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 |