KyOption - Financial Option Valuation

KyOption software calculates the value and greeks of (exotic) spread options. The pay-off structures include:

• plain vanilla calls & puts
• cross-commodity (outperformance options, including timelag)
• digital options
• lookback options
• asian options

Financial option types

For all option types the following parameters are available:

• Tenor in days
• Asianing (pay-off depends on price levels on multiple days, not just one day). The user is able to define different intervals of time.
• Currency, including EUR, USD, GBP
• Quanto/Compo
• Forward starting, i.e. starting at a later date

The calculation of the option values is done with closed form formulas and/or with Monte Carlo simulations.