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XyrisOption's Pricing Models

XyrisOption comes with market standard Black-Scholes and Binomial models, as well as optimized Whaley-Ho models. XyrisOption can also integrate clients' proprietary models and includes an options calculator for OTC pricing. All option calculation parameters are configurable, so traders can express variables in the way they prefer.

Configurable parameters include:

Dividends - use system projections or set up your own dividends

Basis pricing for index or cash options - futures contract or other hedge can be used to calculated implied dividends using basis rolls

Volatilities - enter your own values, historic volatilities, or real-time implied volatilities to calculate greeks and theoretical values. Smiles can also be expressed parametrically to shift with the underlying.

Interest rates - generated from current euro-deposit/swap yield curves, or set up your own yield curves

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