I just added the Monte Carlo Simulation Tab to the calculator. I bet many hours will be spent on it.
Additionally, you can share the results of the calculation via the share button in the tab.
Have you ever wanted to price an option, but were away from your computer? Wait no more. 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). Ideal for Physics or Chemistry majors.
Increased the maximum number of simulations to 400,000,000.
Ratings and Reviews
With Family Sharing set up, up to six family members can use this app.