|Financial Options Pricing and Analysis Java Component
Options/J Java Options Pricing and Analysis
Options/J is designed to make life easier for quantitative analysts, option traders
and others needing fast stock option pricing in Java applications.
Options/J is a full Java library, supplied in JAR format and comes complete with
demo application and source code ready to use. It can price options, estimate historical and implied volatility,
calculate greeks and more and is usable in both Windows, Linux and Apple Mac using Java.
Options/J gives you the power to easily create your own trading system,
option price calculator, implied volatility estimator and
more. With our easy to use, yet powerful software, including
demo applications with source code, backed up by our top notch support,
you will be able to build applications to price stock options, commodities
in minutes, not days.
Options/J 10.0 contains a range of powerful options pricing methods including the
Fast analytic Black-Scholes and Bjerksund-Stensland models which
include discrete dividends
Probabilistic Methods to compute values such as:
Upside stock potential,
Downside stock potential
Probability of security price being above, below, touching or between values.
Fast analytic methods to compute probability of stock ever touching a price level
as well as Monte Carlo methods
Risk-Reward methods to compute potential risk and reward for option trades.
Compute prices and greeks in just one function call for
both European and American style options
Options/J contains a range of fast analytic methods as well as in some cases,
Monte Carlo methods
so the two can be confirmed as desired. Importantly, we have included a fast
analytic method for computing the probability of a security touching a price level
within a set time. For options trading, this type of calculation may be very important.
very fast, yet easy to use. In only one line of code, you
can add derivative pricing to your application. a software package that enables you to
price stock options, commodities and currencies.
It is a full Java Library for creating your own stock option pricing applications,
options calculators and option trading applications.
If you need the ability to program in ActiveX, COM or .NET, take a look at our
other products, Options/X and
Options/NET which are designed for Windows environments
and IDEs including:
Visual Basic 6, VBA, Visual C++ 6, C# and more.
With Options/J, you can compute greeks,
implied and historical volatility to value put and call
derivatives for American and European options
using the Black-Scholes formula, Binomial Cox-Ross-Rubenstein model
With Options/J, you can
create your own exchange traded stock option price calculator
to compute stock option prices for European and American
Options, analyze options volatility smile or compute historical volatility. Are you interested in making money using stock options? Have you tried
stock trading, but now need to work out how to trade options successfully?
One of the most essential tools for options trading is software for
options pricing. The beauty of Options/J is that you are in control of
exactly what is computed and what algorithm is used. You are free to
create your own options pricing calculator using the built-in functions of
We provide the source code
in Java so that you can use the built-in
options pricing models to easily create your own option pricing calculator.
Use our example program or develop
your own Windows or Linux applications for option trading easily. While we may not be able to turn you into an options trader, we do provide
the software that is used by options traders and brokers to value and analyze stock options.
With full source samples you will be able to quickly and easily implement
Options Trading software. Using
implied volatility analysis, compute the volatility
smile. If you are interested in stock options trading, futures trading, implementing
and testing your own option trading strategies, or even just want to learn options trading, then you will
need solid, reliable options pricing software. While many options software products
are difficult to learn or require extensive training or courses, Options/J is
very powerful yet easy to use. If you need help getting started or require additional features
please contact us as we provide extensive support with all of our software. Please
refer to our client testimonials to see what others say. In many cases our
software will enable you to be up and running within minutes of downloading
Both zip and tar versions of the software are available, please contact us if you
Related Options Software
Options/NET - Options Analysis .NET Component
Volatility/X - Volatility Estimation Excel Add-In
Options/X - Options Analysis ActiveX/COM Component
Features of Options/J
Find the "greeks" - Delta, Gamma, Theta,
Vega, Rho. Dividend earnings as a percentage yield can also be included. 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.
Options/J includes a number of popular models for estimating the theoretical option
prices and contains the following models:
Black-Scholes-Merton (allows for dividend yields)
Bjerksund-Stensland (fast estimation of American
Garman-Kohlhagen (used to price European currency
French-84 (allows for the effect of trading days)
Historical volatility (estimate volatility using
raw price data)
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/J comes in 2 different editions: Enterprise and
Platinum. The difference between each of these
methods is given in the table below:
Merton jump diffusion
Options/J Class Library in Eclipse IDE
If you are a Java developer, then there is a good chance you are
familiar with one or more of the popular Java integrated development
environments such as Eclipse or NetBeans IDE. As you can see from the
image below, Options/J can be easily used in the Eclipse IDE and loaded
into your application as a JAR file. From this point the class functions
for options pricing and analysis are readily available. In many cases you
need just one function call to obtain multiple results.
Full Fast options pricing and greeks can be obtained in the
Eclipse IDE for your Java application..
A well known issue amongst serious Java developers, particularly those
who have come from a C/C++ background, is how to return multiple values
from Java functions. Without going into the arcane and somewhat pointless
politics of the issue, it is worth commenting on how and why we deal
with multiple return values. There exists engineering systems which we may
refer to as MIMO or multiple-input multiple-output and so when it comes to
software implementations, we may naturally prefer to be able to provide
functions which can process data in a similar manner. Typically we may
find ourselves dealing with some form of model where it makes sense to
obtain all output values at the same time, through one function call. In
computational finance areas such as option pricing, it is common to see a
considerable amount of processing effort going into computing the option
prices and greeks. For some algorithms however, it is more efficient to
use the same common calculations and then produce multiple results
stemming from these common calculations, than to use separate function
calls which repeat the same calculations. The simplest solution to this
issue is to make the function call return multiple values. While there are
a few ways to do this, in our Java functions, we return values using a
passed in array.
For example, we may define an array of doubles which will receive the
output and then call the appropriate function as follows:
RetVals = new
TimeToMaturity, Volatility, DividendRate, RetVals);
CallPrice = RetVals; //
Not necessary, but done for clarity
PutPrice = RetVals;
DeltaCall = RetVals;
DeltaPut = RetVals;
ThetaCall = RetVals;
ThetaPut = RetVals;
Gamma = RetVals;
Vega = RetVals;
RhoCall = RetVals;
RhoPut = RetVals;
Thus we can easily obtain multiple output values from a Java
function. This is the general and easy to follow approach adopted in all
of our function calls.
Options Source Code Examples
If you are aiming to develop an option trading system for the stock market, try Options/J,
a Java Library in Windows and Linux compatible JAR format that enables you to quickly build your own system.
The advantage of Options/J is that you can use it with our demo
application and instantly begin creating your own application. With the
addition of stock quotes, you can create your own option trading software,
customized to your own purposes.
Options/J includes a sample
application with source code in Java. You can quickly see just
how easy it is to price and analyse data using Options/J.
Options/J Java Class Library implements option pricing and analysis functions.
Screen shot of an application built in Eclipse using Options/J.
Options/J is a Java Class Library implemented in a single JAR file, so it
can be used in a wide range of applications that support
this standard for JRE 1.6 and above. This includes both Windows, Linux and Apple Mac OS-X
with Java SE 6 installed. It can be used in Java programming IDEs such as Eclipse and
NetBeans IDE. Options/J is written in 100% Java. The trial version of Options/J is feature limited: you will only be
able to access Black-Scholes functions using the trial version. However it is
possible to develop trial applications to test out your ideas. If you need to
price American Options using the Binomial model (Cox-Ross-Rubenstein), or do
futures pricing, then by purchasing the full version you can obtain the full
Black-Scholes Option Pricing
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).
If you have access to financial end-of-day stock data, then you can use our software
in Excel to easily price financial options to work out their theoretical fair value.
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.
Further information on the Black-Scholes model for pricing derivatives and how
to use Options/J to price stock, currencies and commodity Put and Call derivatives
using European and American style options is given here:
Binomial Option Pricing
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. OptionsJ 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.
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. Options/J implements implied volatility functionality for both American and European
options using the Binomial and Black-Scholes methods respectively.
- 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.