Equity derivatives module
Calculate value and Greeks of vanilla and exotic options, perform stress scenarios and validate models using 58 functions and 6 Excel workbooks containing examples and templates included in this module.
Instrument coverage and functionality
58 functions related to equity derivativesFunctions in this module calculate fair value and Greeks of vanilla options and TV and Greeks of the following types of exotic options:
- Digital option
- One-touch and No-touch option
- American barrier option (KI, KO, RKI, RKO)
- European barrier option (EKI, EKO)
- Double barrier option (DKI, DKO, KIKO)
Excel examples and templates
7 Excel workbooks with dozens of spreadsheets illustrating the use of functions and their various implementations.5 Excel workbooks accompanied with the module include examples of all functions related to equity derivatives. We recommend to use the relevant workbooks before your first use of the specific function.
The workbooks include graphs of value and Greeks as a function of spot and time to expiry.
The additional Excel workbook include template, illustrating ESO valuation.
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Windows 7 – 10
Frequent questions
Are both European and American options are covered in this module?
Yes, both European and American equity options are covered in GIAnalyzer.
Is there a graphical presentation of option’s value and Greeks?
Yes, the graphs are shown as a function of spot and time to expiry.
Can we calculate stress scenarios for equity option portfolio using GIAnalyzer?
Sure, if you easily calculate P/L of equity options portfolio in different scenarios of spot/vol.
Does the model for ESO valuation support additional features such as maximum stock price?
Yes, it does. Among additional features there are exercise ratio, strike change and maximum stock price.