OptPrc-EQ

Equity,FX,Commodity

Fixed-income

Option Pricer Under Lognormal Distribution (Black-Scholes Model)
for Equity, FX and Commodity Options

Main
Vol

Today

Underlying Assets

optiontypes

Quantity

Multiplier

Strike

Direction

Expiry Date

Delivery Date

Models

Volatility (%)

Underlying price

CNY Depo (%)

dividend yield (%)

Solve implied vol

Valuation Date


	Lognormal	VannaVolga	LocalVol	Heston	SLV
Premium
Delta
Gamma
Vega
Vanna
Volga
Theta
	N/A	N/A	N/A	N/A	Leverage Surface Leverage Surface

Today

Index Name

date	open	high	low	close	volume
2020-11-23	4954.6	5029.65	4940.45	5005.03	20.592

List Option

Call					Put
volume	last	bid	ask	strike	ask	bid	last	volume
1	1865.6	1805	1814.6	3100	0.6	0.4	0.4	1
1	1730.2	1705.2	1715	3200	0.6	0.4	0.4	1
1	1677	1605.4	1615.4	3300	0.6	0.4	0.4	1
1	1600	1508.8	1516	3400	0.4	0.2	0.4	1
1	1430.6	1408.8	1415.8	3500	0.4	0.2	0.4	1

Fit to Lognormal-Mixture model

Bootstrapping Result

3D Vol surface

External links to market data used for pricing. The data are mainly taken from the CFETS (China Foreign Exchange Trade System) and the CFFEX (China Financial Futures Exchange).

[4] ShiborON Shibor3M FR007 LPR1Y

[6] HS300 list options

External links to other websites, which describe the numerical methods and approximate solutions used in option pricing.

[1] BAW Approximate

[2] Curran Approximate

[3] Finite Difference

[4] Alternative Direction Implicit

External links to other websites, which describe option models used for pricing EQ/FX/Commodity exotic derivatives.

[3] Local Volatility

[5] Stochastic Local Volatility