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Options Pricing Monte Carlo

Options Pricing Monte Carlo

2.2.0 by Options & Financial Calculator
(0 Reviews) December 09, 2023

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Options Pricing Monte Carlo Options Pricing Monte Carlo Options Pricing Monte Carlo Options Pricing Monte Carlo Options Pricing Monte Carlo Options Pricing Monte Carlo

Latest Version

Version
2.2.0
Update
December 09, 2023
Developer
Options & Financial Calculator
Categories
Finance
Platforms
iOS
File Size
4.5 MB
Downloads
0
License
Free
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More About Options Pricing Monte Carlo

Price options with Black Scholes, or get Implied Vol. Use Monte Carlo to price options or use Heston model with Stochastic Vol!
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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