Products Overview Features Functions Download Requirements FinOptions XL Functions Function Highlights Each FinOptions XL function can calculate price and the risk sensitivities as well as implied volatility and implied strike.  The risk sensitivities include the sensitivity to price (delta and gamma), time (theta), volatility (vega), interest rate (rho), yield rate (psi), elasticity (lambda), and time value. GenBS Calculates American and European financial derivatives using the Modified Black-Scholes model and the Pseudo-American model. FrenchBS Calculates American and European financial derivatives using the Modified French Black-Scholes model that adjust for trading days. Binomial Calculates American and European financial derivatives using the Cox, Ross, and Rubinstein and Hull model. Whaley Calculates American financial derivatives using the G. Barone-Adesi, R. E. Whaley and L. W. MacMillian model. Eurodollar Calculates American and European eurodollar derivatives using the Generalized Black-Scholes, Binomial, Whaley or the Bjerksund-Stensland model. BSAmerican Calculates American financial derivatives using the Bjerksund-Stensland model. JumpDiffusion Calculates European financial derivatives using Merton’s jump-diffusion model. AmericanCall Calculates American financial derivatives using the Roll (1977), Geske (1979a), and Whaley (1981) model for the valuation of an American call option. Privacy Policy | Legal Notice Copyright ©2002 Derivicom Inc.