Instrument Coverage

Valuation and VaR of Derivative Instruments


RiskEdge covers many Exchange-traded, Structured and Exotic Derivatives in its proprietary Algorithm Library as given below. You can choose any number of instruments that you deal in regularly, from the library. 

Valuation Library



Plain Vanilla Options

European – Black Scholes Method

European – Cox-Ross-Rubinstein (Binomial Tree)

European – JR Modfication (Binomial Tree)

American – Barone-Adesi and Whaley Approximation

American – Bjerksund and Stensland Approximation

American – Cox-Ross-Rubinstein (Binomial Tree)

American – JR Modfication (Binomial Tree)

Asian Options

Zhang’s Partial Differential Equation

Vecer’s Partial Differential Equation

Geman Yor Asian Option

Linetzky Asian Option


Levy’s Approximation

Geometric Average Rate