EXOTICS XL
EXOTICS XL is a Microsoft Excel add-in program that allows you to value non-standard option and derivative contracts.The types of contracts that may be valued using EXOTICS XL are Average Price and Rate ("Asian"), Barrier ("knockouts and knockins"), Binary, Chooser, Compound, Currency-Translated, Lookback, Portfolio, Rainbow and Spread options.
To achieve the company's goal of remaining at the leading edge of option and derivative analytics, Montgomery Investment Technology, Inc. will develop new functions and pricing models to meet market demand. Specialty applications and functions can be created on a custom basis to meet your in-house needs.
Non-Standard
Options
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Average Price/Rate ("Asian") and Strike |
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Knock-out/knock-in with rebate capability |
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Binary Barrier, All-Or-None and Gap |
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Option to choose a call or put in the future |
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Option to buy an option in the future |
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FX Translated Options, "Quanto" |
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Option exercise determined by Min / Max price |
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Option on portfolio of two assets |
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Option on minimum or maximum of two assets |
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Option on 2 asset spread (e.g. "Crack" or "Spark") |
Custom
Series
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American and European-style knock-out/knock-in options with rebate (binomial) |
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American and European-style knock-out/knock-in options with rebate (flexible binomial) |
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Average, Barrier, Lookback, Standard contracts |
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Implied Binomial Tree |
Based on research by Goldman (Derman) or Rubinstein (UC Berkeley) |
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Finite Difference |
Finite Difference |
Cash Bond Options (under development)
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Modified Black-Scholes |
Price-diffusion for short-term options |
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Cox-Ross-Rubinstein |
Price-diffusion for short-term options |
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Rendleman and Bartter |
Yield-diffusion for short- to long-term options |
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Hull-White |
Yield-diffusion for long-term options with mean reversion |
