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Options Pricing and Analysis for Mobile Devices

		Options/NET Mobile 11.0
		Financial Options .NET CF Component for Mobile Devices

Options/NET Mobile .NET CF Component implements a number of option pricing and analysis functions and is intended for developing Windows Mobile applications running on the Pocket PC. The Options/NET Mobile component provides virtually the same functionality as the Options/NET and Options/X components which are for use in developing regular windows applications.

Use Options/NET Mobile to calculate Option prices for European and American Options, analyse options sensitivities or compute implied volatility. Use our example Pocket PC program or develop your own Windows Mobile applications for option trading easily in: Visual Basic .NET or Visual C#.

Options/NET Mobile provides a range of must-have functions for options pricing and analysis, including implied volatility analysis, compute the volatility smile, find the "greeks" - Delta, Gamma, Theta, Vega, Rho. European and American options can be analyzed using the Black-Scholes option pricing formula, Binomial options pricing methods (Cox-Ross-Rubinstein), Black method for futures or any of the other methods listed below.

These option pricing algorithms provide a method of determining the call and put prices for European and American options, greeks, implied volatility and volatility skew for both call and put options is also available.

Options/NET Mobile includes a number of popular models for estimating the theoretical option prices and contains the following models:

The Pocket PC 2003 Emulator - available for free with the Windows Mobile 2003 SDK, lets you develop Smart Device applications with our .NET CF components. We give details on how to get started with the included Help file with Options/NET Mobile.

Black-Scholes-Merton (allows for dividend yields)
Black-76 (Futures)
Cox-Ross-Rubinstein (Binomial)
Bjerksund-Stensland (fast estimation of American options)
Barone-Adesi-Whaley
Garman-Kohlhagen (used to price European currency options)
Roll-Geske-Whaley
French-84 (allows for the effect of trading days)
Merton jump diffusion
Historical volatility (estimate volatility using raw price data)

Options/NET Mobile comes in two different editions: Professional and Enterprise. The difference between each of these methods is given in the table below:

Features	Professional	Enterprise
Price	$395	$795
Pricing Models
Black-Scholes
Binomial
Bjerksund-Stensland
Black-76
Barone-Adesi-Whaley
Garman-Kohlhagen
Roll-Geske-Whaley
French-84
Merton jump diffusion
Functions
Call/Put Prices
Greeks
Implied Volatility
Implied Volatility Skew
Historical Volatility
Continuous Dividends
Discrete Dividends (Binomial Method)
.NET CF 1.0 for Windows Mobile 2003
Sample Applications
Options Pricer for Pocket PC (VB.NET)

If you are a floor trader and need to quickly price options, look no further than Options/NET Mobile. Here's why you should grab Options/NET Mobile today:

Options/NET Mobile includes a ready to go Options Pricing Pocket PC application.
The full source code for the Pocket PC options pricing and analysis application is included with Options/NET Mobile. It is written in Visual Basic .NET using Visual Studio 2003 - you'll have no problems in understanding how to customize it to do the things you require.
Options/NET Mobile is a .NET CF component and fully documented, so you can implement the Pocket PC application you need.
The syntax and functionality of Options/NET Mobile is virtually identical to the same components we use for full PC applications - Options/X and Options/NET. So if you want to re-use code - go ahead! Options/NET Mobile gives you full power and compatibility with your desktop application.
Develop Pocket PC applications for Windows Mobile 2003 using the new .NET Compact Framework (.NET CF) to run on Pocket PC 2003, Pocket PC 2002 or Pocket PC.
The Options/NET Mobile DLL is tightly coded using 100% Visual C# and is only 140k in size so it can run on almost any Pocket PC handheld!
We provide full design-time support for Visual Studio 2003, so you can develop your Pocket PC application with the same ease that you develop any other Windows application.

A Pocket PC application built in VB.NET using Options/NET Mobile.

With the addition of stock quotes, you can create your own Pocket PC Option Trading application. Options/NET Mobile includes a sample Pocket PC application with source code in Visual Basic .NET. You can quickly see just how easy it is to price and analyse data using Options/NET Mobile. Options/NET Mobile is written in C# with maximum speed, reliability and accuracy in mind.

30 Day 100% Money Back Guarantee!

If you have any questions about Options/NET Mobile, contact us today. Please note: at present we do not have a trial version of Options/NET Mobile available. However, we are pleased to provide a full 30-Day 100% Money Back Guarantee on Options/NET Mobile. PUrchase Options/NET Mobile today and if you are not completely satisfied, then simply let us know within 30 days from the date of purchase and you will receive a 100% complete refund - no questions asked! You get to try out the fully licensed version of Options/NET Mobile for 30 days and if you are unsatisfied in any way, you can obtain a full refund!

Black-Scholes Option Pricing

The Black-Scholes option pricing formula can be used to compute the prices of Put and Call options, based on the current stock price, the exercise price of the stock at some future date, the risk-free interest rate, and the standard deviation of the log of the stock price returns (the volatility).

A number of assumptions are made when using the Black-Scholes formula. These include: the stock price has a lognormal distribution, there are no taxes, transaction costs, short sales are permitted and trading is continuous and frictionless, there is no arbitrage, the stock price dynamics are given by a geometric Brownian motion and the interest rate is risk-free for all amounts borrowed or lent. It is possible to take dividend rates for the security into consideration.

Binomial Option Pricing

American options differ from European options by the fact that they can be exercised prior to the expiry date. This means that the Black-Scholes option pricing formula is not suitable for this type of option. Instead, the Cox-Ross-Rubinstein Binomial pricing algorithm is preferred. optionsnet implements the binomial pricing algorithm for pricing American options. used to compute the prices of Put and Call options, based on the current stock price, the exercise price of the stock at some future date, the risk-free interest rate, the standard deviation of the log of the stock price returns (the volatility), and if applicable, the dividend rate.

Implied Volatility

Given the option price, it is possible to find the volatility implied by that price. This is known as the Implied Volatility and it has a number of characteristics which have been used to identify trading opportunities. optionsnet implements implied volatility functionality for both American and European options using the Binomial and Black-Scholes methods respectively.

Volatility Skew

Implied volatility can be computed for both puts and calls across a range of different strike prices. Interestingly, it is common for the implied volatility to vary across this range. Plotting the implied volatility against the strike price results in a curve that is termed the 'volatility smile'. This is due to the fact that it is common for out of the money calls and puts to have higher implied volatilities. When there is a difference between the implied volatilities using equal out of the money calls and puts, this is termed the 'volatility skew'. Interpretation of the skew is the basis for some trading activities. If the ratio of Call volatility to Put volatility is considered, a value greater than one may imply that the calls are priced higher than puts with a resulting upward price bias and vice versa, ie. a call to put volatility ratio less than one may imply that calls are priced lower than puts with a resulting downward price bias. High skew ratios may indicate demand increasing for puts, ie there are relatively more puts being bought and calls being sold, than puts being sold and calls being bought. The analysis and interpretation of volatility skew should be undertaken with due care and diligence and is a matter for skilled, professional traders.

References

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Political Economy, Vol 81, May-June, pp. 637-654.
J.C. Hull, "Options, Futures, and other Derivative Securities", Second Edition, Prentice-Hall: Englewood Cliffs, 1993.