The option models used in each of the five CQG modules are:
- Black Model
- Black-Scholes Model
- Bourtov's Model
- Cox-Ross-Rubinstein (Binomial) Model
- Garman-Kohlhagen Model
- Merton Model
- Whaley (Barone-Adesi-Whaley Quadratic) Model
You control the properties of the models. First, you have two choices of data for calculating volatility: traded implied volatility or momentary volatility.
Next, you can select the iterative process used to arrive at the implied volatility. CQG offers you four iteration methods for arriving at the implied volatility: Newton's method (using vega), the secant method, binary division, and the combined method, which blends the secant and binary division processes.
You can choose from among six volatility choices, all calculated from market data:
- Volatility surface from the 3-D volatility workshop module
- Volatility curve from the non 3-D volatility workshop module
- Implied volatility
- Average volatility
- Historical volatility
- Constant volatility
You can select the currency and interest rate used for the options calculations.
As always with CQG, you have a wide range of choices in preferences that enable you to tailor your analytics to your specific needs.