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Options Pricing Software for .NET Applications

		Options/NET 10.0
		Analytical Software for Options Trading

Options/NET Analytical Software for Options Trading

Options/NET is designed for option traders to enable them price options, estimate historical and implied volatility, as well as to estimate the greeks.

New Version!

This newest version contains 60 powerful new functions including:

Discrete Dividend Methods for Black-Scholes model
Discrete Dividend Methods for Bjerksund-Stensland model
Probabilistic Methods to compute values such as UpsideStockPotential
Fast analytic methods to compute probability of stock ever touching a price level
Risk-Reward methods to compute potential risk and reward for option trades.
Combined calculation methods of prices and greeks for Black-Scholes model
Combined calculation methods of prices and greeks for Bjerksund-Stensland model

Options/NET 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 and currencies in minutes, not days. Options/NET is very fast, yet easy to use. In only one line of code, you can add derivative pricing to your application.

If you are looking for an Excel Add-In, you may be interested in Options/X Excel Add-In. Both Options/NET and Options/X include full sample source code, and SDKs to create options pricing calculators and option trading applications in Visual Basic, Visual C++, Visual C# and more. 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 and others. A free 90 day trial can be downloaded here: Options/NET Options Pricing Software.

Further information on the Black-Scholes model for pricing derivatives and how to use Options/X to price stock, currencies and commodity Put and Call derivatives using European and American style options is given here:

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. All you need is:

Strike price of the underlying stock
Strike or exercise price
Risk free interest rate
Time in years until expiration
Volatility of the underlying stock

Use Options/NET to calculate Option prices for European and American Options, analyse options sensitivities or compute implied volatility. Use our example program or develop your own Windows applications for option trading easily in: Visual Basic .NET, Visual C#. WIth the Enterprise version you can create an ASP.NET web site and call any of the option pricing methods within your web application.

Now with Patent-Pending Technology for faster implied volatility calculations!

This newest version of Options/NET includes new threading selection capabilities to give finer control over how the component methods are implemented. Now in one easy to use component, Options/NET lets you decide what you want to do:

Component managed threads:	Easy to use, Fast GUI response
User managed threads:	Fastest computation time

With full source samples you will be able to quickly and easily implement Options Trading software. Download Options/NET now and you can try it out in full, even compile programs using the trial version. Using implied volatility analysis, compute the volatility smile.

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.

1973 Black-Scholes Option Pricing Formula

The Black-Scholes Option Pricing Formula uses the following inputs:

Strike price of the underlying stock
Strike or exercise price
Risk free interest rate
Time in years until expiration
Volatility of the underlying stock

Now, to compute the option prices and greeks, you could look up issues such as how to compute the standard normal cumulative distribution function and a set of equations to program. Or, we suggest - simply try our well-proven options pricing software.

Here is an example of a simple options pricing calculator that was created using Options/NET:

Option Pricing Calculator

ASP.NET Sample Options-Pricer

With Options/NET we provide the full source code for creating an ASP.NET options pricing calculator web application. Click here to try Options-Pricer ASP.NET Sample Application. Full source for this web application is provided with Options/NET.

Options Software

Options/X - Options Pricing Excel Add-In and SDK
Options/NET - Options Analysis .NET Component
Volatility/X - Volatility Estimation Excel Add-In
Options/NET Mobile - Options Analysis Windows Mobile Component

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

Black-Scholes-Merton (allows for dividend yields)
Black (1976 Modification for 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)

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 comes in 3 different editions: Professional, Enterprise and Platinum. The difference between each of these methods is given in the table below:

Features	Professional	Enterprise	Platinum
Pricing Models
Black-Scholes
Binomial
Bjerksund-Stensland
Black (1976 Mod)
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
.NET 1.0 Version
.NET 1.1 Version
.NET 2.0 Version
ASP.NET (For Web Sites)
Server Use
Sample Applications
Options Pricing (VB.NET)
Options Pricing and Analysis Tool (VB.NET)
Options Pricing (ASP.NET/VB.NET)
.NET 1.1 Sample Applications
.NET 2.0 Sample Applications

If you are aiming to develop an option trading system for the stock market, try Options/NET, a .NET DLL that enables you to quickly build your own system.

With the addition of stock quotes, you can create your own option trading software, customized to your own purposes.

Options/NET includes sample applications with source code in Visual Basic .NET as a Windows application and as a Web application. You can quickly see just how easy it is to price and analyse data using Options/NET. Options/NET Control implements option pricing and analysis functions. For each of the pricing models, the implied volatility and volatility skew for both call and put options can be determined.

Screen shot of an application built in Visual Basic using Options/NET.

Options/NET includes sample applications with source code in Visual Basic .Net. You can quickly see just how easy it is to price and analyse options data using Options/NET.

Options/NET is strong named, so it can be readily added to the GAC (Global Assembly Cache).

Options/NET is written in C# with maximum speed and reliability and can be used in a wide range of applications that support the .NET standard. This includes Visual Basic .NET, Visual C# and more. The trial version of Options/NET 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 capability.

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.