Derivative Pricing Consulting Services

We can help you price all kinds of derivatives from vanilla to exotic, including:

  • Calls, puts, forwards and futures (FX/equity)
  • American options and exotic options with early exercise optionality
  • Knock in / knock out barrier options and window barrier options. See our article about barrier options and volatility/interest rate term structure. Also, be sure to see the paper by KS Moon for improving the efficiency of Monte Carlo pricing using a Brownian bridge.
  • Fixed and variable coupons
  • Warrants
  • Pnotes (promissory notes)
  • Dividend futures

We use a variety of derivative pricing methods including Monte Carlo, Black-Scholes, Finite Difference, and Longstaff-Schwartz.

Also check out our article on converting volatility surfaces from moneyness to delta using an iterative procedure.