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...
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).
Feb 26, 2021
Version 2.2.0
Completely new UI.
Previous Versions
Here you can find the changelog of Options Pricing Monte Carlo since it was posted on our website on 2023-09-08 12:10:52.
The latest version is 2.2.0 and it was updated on 2024-04-19 18:53:47. See below the changes in each version.
Options Pricing Monte Carlo version 2.2.0
Updated At: 2021-02-26
Changes: Feb 26, 2021
Version 2.2.0
Completely new UI.
Disclaimer
Official App Store Link
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