Instrument Coverage
Valuation and VaR of Derivative Instruments
If you use multiple systems to measure risks on physicals and derivative positions, or take a long time to compute risks on all your positions, VaR Edge can help. VaR Edge gives almost instantaneous results due to its hyper-threading capabilities even with Monte-Carlo Simulation method, and can be used to calculate risks on all your positions.
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
- Turnbull-Wakeman
- Levy’s Approximation
- Geometric Average Rate
Barrier Options
- Standard Barrier Option
- Double Barrier Option
- Partial Time Single Asset Barrier Option
- Two Asset Barrier Option
- Partial Time Two Asset Barrier Option
- Look Barrier Option
- Discrete Barrier Option
- Soft Barrier Option
Multiple Exercise Options
- Forward Start Option
- Ratchet Option
- Time Switch Option
- Simple Chooser Option
- Complex Chooser Option
- Option On Option
- Holder Extendible Option
- Writer Extendible Option
Binary Options
- Gap Option
- Cash Or Nothing Option
- Two Asset Cash Or Nothing Option
- Asset Or Nothing Option
- Super Share Option
- Binary Barrier Option
Multiple Assets Options
- Two Asset Correlation Option
- European Exchange Option
- American Exchange Option
- Exchange On Exchange Option
- Two Risky Assets Option
- Spread Option
Lookback Option
- Floating Strike Lookback Option
- Fixed Strike Lookback Option
- PT Floating Strike Lookback Option
- PT Fixed Strike Lookback Option
- Extreme Spread Option