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Black Scholes
Barrier Reverse Convertible
Time to Maturity
(
T
−
t
)
\text{Time to Maturity } (T - t)
Time to Maturity
(
T
−
t
)
Volatility
(
σ
)
\text{Volatility } (\sigma)
Volatility
(
σ
)
Interest Rate
(
r
)
\text{Interest Rate } (r)
Interest Rate
(
r
)
Dividend Yield
(
q
)
\text{Dividend Yield } (q)
Dividend Yield
(
q
)
Barrier
(
H
)
\text{Barrier } (H)
Barrier
(
H
)
Nominal Value
(
n
o
m
)
\text{Nominal Value } (nom)
Nominal Value
(
n
o
m
)
Credit Default Swap
(
c
d
s
)
\text{Credit Default Swap } (cds)
Credit Default Swap
(
c
d
s
)
Coupon
(
c
)
\text{Coupon } (c)
Coupon
(
c
)
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Underlying
Convertible
t
sideways
Underlying
Convertible
t
down
Underlying
Convertible
t
Infinity