| Black-Scholes |
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Black-Scholes-Merton for pricing European-style options (closed-form solution) |
| Binomial (C-R-R) |
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Binomial lattice for pricing American and Bermudan-style options (dividend capture) |
| Options Lattice EB |
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Binomial & Trinomial methods including suboptimal factor for early exercise |
| Option Flexible Lattice EB |
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Flexible Lattice option pricing with varying volatility, interest and yield rates |
| Flexible Monte Carlo SOEB |
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Monte Carlo option pricing with multiple suboptimal exercise factors and exit rates |
| ESPP Valuation |
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Calculates the fair value of a Employee Stock Purchase Plan with price discount |
| SAR Valuation |
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Calculates the fair value of a Stock Appreciation Right |
| Option Expected Value Method |
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Calculates the probability of a price at each node, applies expected value method |
| Forward Start Black-Scholes |
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Calculates option values using Forward Start method using exercise ratio |
| Gram-Charlier |
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Option pricing assuming non-normal distribution of returns (skewness and kurtosis) |
| Equivalent Term Structure |
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Calculates the equivalent volatility, interest rate and yield rate from a term structure |
| ESO Valuation and Attribution (123R) |
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Provides option valuation and cost attribution using straight-line method |
| ESO Exercise Behavior |
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Calculates the moneyness and time to exercise based on historical exercise behavior |
| Expected Term |
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Calculates the expected term based on the SEC formula and other methods |
| Expected Volatility |
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Estimates the expected volatility by weighting historical and implied volatilities |
| Volatility Wizard |
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TheVolatility Wizard can be used for a detailed volatility analysis |
| Implied Volatility Matrix |
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Calculates a matrix of implied volatilities for exchange-traded options |
| Historical Volatility Matrix |
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Calculates a matrix of historical volatilities given a stock symbol |
| Peer Group Volatility |
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Calculates the blended volatility of a peer group |
| Treasury Interest Rates |
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Provides US Treasury rates dating back to 1/1/2000 |
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| Black-Scholes Illustrated |
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Illustrates the Black-Scholes calculation from an expected value perspective |
| Binomial Lattice Illustrated |
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Illustrates the calculations per node of Binomial tree (lattice) |
| Monte Carlo Illustrated |
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Simulates the stock price path for the valuation of ESOs and alternative awards |
| Volatility Analysis Illustrated |
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Illustrates the changes in volatility over time |
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| Black-Scholes-Merton vs. Lattice |
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Provides a comparison of Black-Scholes-Merton and Lattice models |
| Binomial Early Exercise Effect |
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Binomial option pricing to illustrate the effect of early exercise for dividend capture |
| Binomial Iterations |
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Binomial method with varying iterations |
| Legacy ESO Models |
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Calculates option values using Minimum Value and Growth methods |
| EE Salary & Option Analysis |
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Compares salary only vs salary plus option employee compensation plans |
| Option Formula Components |
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Illustrates the component parts of the Black-Scholes and Binomial formulas |
| ESO Standard / Stepped / Strip |
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Provides an example of two alternative types of ESO awards |
| ESO Implied Volatility |
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Expected volatility based on the implied volatility of exchange-traded options |
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| Historical Volatility |
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Volatility functions for calculating volatility from historical prices |
| Interest Rate Converter |
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Converts a rate from one type to another (e.g. Bond Equivalent to Continuous) |
| Implied Forward Rates |
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Calculates the implied forward interest rates from the Treasury yield curve |
| Skewness |
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Calculates the degree of asymmetry of a return distribution; B-S=0 |
| Kurtosis |
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Calculates the degree of peakedness of a return distribution; B-S=0 |
| Auto Correlation |
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Calculates the autocorrelation of returns given a range of stock prices |
| Volatility Normality |
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Calculates volatility, skewness and kurtosis from a given range of stock prices |
| Historical Data Wizard |
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Retrieves historical price data from Yahoo! Finance using HistDataWizard |
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| Alternative ESO: Average Price |
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Option value based on the average underlying asset price for a predefined period |
| Alternative ESO: Barrier Options |
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Option is price path-dependent; vests only if a certain target price is reached |
| Alternative ESO: Lookback |
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Provides the right to buy an asset at the lowest price attained over the option's life |
| Alternative ESO: Index (Outperformance) |
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Exercise price varies with an index such as S&P 500 or peer group |
| Double Barrier Binomial |
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Binomial lattice for pricing an option with a double barrier |
| Alternative ESOs |
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Provides example of alternative or non-standard share-based payment awards |
