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@UNIVEXOT – Universal Exotics Add-in (version 10.0.06)

Calculates prices, sensitivities & implied volatilities of Exotic options, including Average price (Asian), Barrier & double Barrier (Knock-out & Knock-ins), Quanto Basket Asian options, Digital, Compound, Contingent, Ladder, Lookback & one & two Touch options on bonds, commodities, currencies, futures & shares (including constant dividend streams & discrete dividend payments). Windows Barriers also supported (up

  • Editorial Team
  • May 12, 2021
  • 1 minute

Calculates prices, sensitivities & implied volatilities of Exotic options, including Average price (Asian), Barrier & double Barrier (Knock-out & Knock-ins), Quanto Basket Asian options, Digital, Compound, Contingent, Ladder, Lookback & one & two Touch options on bonds, commodities, currencies, futures & shares (including constant dividend streams & discrete dividend payments). Windows Barriers also supported (up front, in middle or at end). For maximum flexibility & sensitivity testing, it allows the user to choose either a numerical (e.g. binomial tree) algorithm or a flexible Monte Carlo simulation algorithm.