FAS133 Valuation Consulting
The consultants at Montgomery Investment Technology, Inc. have the expertise to assist our customers in valuing standard and "alternative" (non-standard) option contracts. Option pricing is complex but we can provide the tools and technical support to simplify the valuation process.
Standard 133 of the Financial Accounting Standards Board details the accounting practices required for the reporting of a derivative product on financial statements. Under this Statement, derivatives are recognized as:
- A hedge of the exposure in changes of a firm’s asset or liability
- A hedge of the exposure to variable cash flows
- A hedge of a foreign currency exposure
The statement establishes the practices that are to be used for reporting hedge gains and losses on a fair value basis.
Montgomery Investment Technology, Inc. offers a line of option-pricing models as add-ins for popular spreadsheet and database software packages, including:
OPTIONS XL
- Black-Scholes
- Constant Elasticity of Variance (CEV)
- Binomial
- Jump-Diffusion
- Whaley
- Gram-Charlier
- Flexible Binomial
- Broadie-Detemple American
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EXOTICS XL
- Asian options
- Options with stepped exercise prices
- Options with indexed exercise
- Barrier (knock-out or knock-in) options
- Compound options
- Lookback options
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| ("out-performance") or spread options |
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RISK XL and UTILITY XL
- VaR Equities anf Futures
- Efficient Frontier
- Historical Price Volatility
- Advanced analysis of price changes
- eGARCH
- Foreign exchange functions
- Monte Carlo simulation
- Forwards and futures contracts
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Documentation regarding these models and their application is provided.
Developer tools providing the above functions are available in the following enviroments:
Excel VBA, Access VBA, SQL Server, Visual Basic, Visual C++, .NET
Custom application development is available upon request.