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ARTWare Exotic Options with Mathematica

Available at the ARTShop

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A "live" Mathematica Notebook (see illustration here) is available for pricing/hedging Vanilla and Exotic options, as well as some structured products, and permits various hedging/portfolio strategy analysis. There are two versions:

The TG2 "Complementary Edition":  This "complementary" package is an abridged version that provides a limited number of pricing/hedging and related analysis for the "usual suspects" of Exotic Options (see table below).  The package is "encoded" (no source code), and has ART's "branding".  To be eligible for a "complementary copy" you must be a "good client", or meet the requirements at the  ARTShop (also available as part of ARTSchool and TG2Books, or write to ARTWare@Arbitrage-Trading.com).

 

The "full" ARTWare Symbolic Analysis Version: This is currently available on a bespoke basis, and has a large number of pricing/hedging/analysis functions and constructs, it includes the source code, write to ARTWare@Arbitrage-Trading.com.

 

            Complementary Full/Commercial

Current Status

For eligible clients Bespoke
Basic functions  
   Date Functions  
   Interest Rate Functions  
   Curve Functions  
   Adv  - Functions  
Interest Rate Securities/Derivatives  
   Adv - Interest Rate Securities/Derivatives  
Vanilla Options - European
Vanilla Options - American (BAW & Geske) *
Exotic Options  
   Asian - Basic
   Asian - Adv  
   Barrier- Basic
   Barrier- Adv  
   Chooser - Basic
   Chooser - Adv  
   Compound - Basic
   Compound - Adv  
   Look-Back - Basic
   Look-Back - Adv  
   Multi-Asset - Basic
   Multi-Asset- Adv  
   Quanto - Basic
   Quanto - Adv  
Structured and Hybrid Products  
   Adv - Structured and Hybrid Products  

Click here for ARTWare Home

Please feel free to write to ARTWare@Arbitrage-Trading.com for additional information, and please review the "XO Illustration" page.

Available at the ARTShop

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**Pr/rO  is also included as part of the ARTPr/rO advisory service.

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Last modified: July 25, 2011