19/03/2013

GRA Pricer - 2013 - Valuation & Pricing Solutions by David REGO supported by Benoît GENEST and Ziad FARES

Philosophy

CH&Co Global Research & Analytics (GRA) is a team of passionate people. One unifying criteria in the GRA remains the dominant quantitative topics, including the risk modelling part.

As such, each member works regularly on topics likely to be of interest to the financial community. The results of this work are always freely downloadable and fully shared with anyone interested. Because we consider “risk modelling” as a hobby, we try to share ideas or researches that we found useful within our day to day practice

 

Introduction

The following document is in response to repeated requests from various players in the market and asking for quick access to a conventional financial pricing library. Formerly available on the internet, it is now more difficult to find on the web.

Our approach is to bring up to date all the work done by Espen Gaarder HAUG  and to complete it with a summary document to assist the reader. This document is based on his great work.  Moreover, we would like to thank him for his significant contribution in options pricing field and to share it with the financial community.

In an initiative to promote knowledge and expertise sharing, Chappuis Halder & Co decided to put this Options Pricer on free access. It contains a charts generator and the detail sheets of each type of options.

 

Warning of no property

This document and all its contents, including texts, formulas, charts and any other material, are not the property of CH&Co

 

Please follow below link to access CH&Co pricing tool

 

You will need to click on the download button to receive the pricer's guidelines

 

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