The option price calculator calculates the NPV of an option on a transaction (bond, swap, FRA, stock) as well as the option delta.

The following option categories can be valuated:

• Standard European

• Barrier (Up&Out, Up&In, Down&Out, Down&In)

• Hit at end Binary (Digital)

• One Touch Binary (Digital)

• Standard American

American options on swaps and bonds can not be valuated at present. For all other underlyings, they can be (American standard options only).

We first differentiate between exercise category (European, American), and then among option category.

The price calculator for European standard options gives you the option delta directly in addition to the option price.

The price calculator for digital hit-at-end binary options and digital one-touch binary options calculates the option price.

The option price calculator calculates the delta as the difference quotient: The price calculator is called up a second time with a price delta of (0.001).

The price calculator for European barrier options calculates the option price. The option delta is approximated using a difference quotient. The option calculator is called up a second time using a spot price shifted by (0.001).

In determining the price of an American standard option, the price calculator is called up twice - once with thirty steps and once with thirty-one. The option price is then the arithmetic mean of the two values. To calculate the option delta, the above procedure is repeated using a spot price shifted by (0.001). The option delta is then the difference quotient.