Options Pricing Monte Carlo
Options & Financial Calculator
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Description
The Options Pricing Monte Carlo app prices power options: max(S^i -K,0) or max(K-S^i,0). It also shows the % of paths with positive payoffs. The normal inverse is calculated with Beasley-Springer-Moro method.
The Heston tab is used to price options under stochastic volatility using Monte Carlo.
It also prices European options using Black-Scholes and can also calculate Implied Vol. Normal is calculated by direct integration using Simpson method with a low tolerance.
So 4 calculators in one:
- Monte Carlo simulator for regular European and Power options.
- Monte Carlo simulator for European options with stochastic vol (Heston model).
- Black Scholes calculator for price and greeks and implied vol.
- Simulation tab lets you visualize Brownian Motion with drift. (2D or vs time).
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The Heston tab is used to price options under stochastic volatility using Monte Carlo.
It also prices European options using Black-Scholes and can also calculate Implied Vol. Normal is calculated by direct integration using Simpson method with a low tolerance.
So 4 calculators in one:
- Monte Carlo simulator for regular European and Power options.
- Monte Carlo simulator for European options with stochastic vol (Heston model).
- Black Scholes calculator for price and greeks and implied vol.
- Simulation tab lets you visualize Brownian Motion with drift. (2D or vs time).
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App Info
- Category
- Finance
- Publisher
- Tenacious App Production, LLC
- Languages
- English
- Recent version
- 2.2.0 (3 years ago )
- Released on
- Mar 27, 2018 (6 years ago )
- Also available in
- United States, Pakistan, United Arab Emirates, Italy, Japan, South Korea, Kuwait, Lebanon, Mexico, Malaysia, Nigeria, Netherlands, Norway, New Zealand, Peru, Philippines, India, Poland, Portugal, Romania, Russia, Saudi Arabia, Sweden, Singapore, Thailand, Turkey, Taiwan, Ukraine, Vietnam, South Africa, Denmark, Argentina, Austria, Australia, Azerbaijan, Belgium, Brazil, Belarus, Canada, Switzerland, Chile, China, Colombia, Czechia, Germany, Israel, Dominican Republic, Ecuador, Egypt, Spain, Finland, France, United Kingdom, Greece, Hong Kong, Hungary, Indonesia, Ireland, Algeria, Kazakhstan
- Last updated
- 1 month ago