Options Pricing Monte Carlo v2.0

Tenacious App Production, LLC ❘ Freeware ❘
iOS
out of 3 votes

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The Options Pricing Monte Carlo application offers an extensive toolkit for pricing power options, specifically through the calculations of max(Si - K, 0) or max(K - Si, 0). The app not only identifies these payoffs but also provides insightful statistics regarding the percentage of paths yielding positive outcomes. The implementation of the Beasley-Springer-Moro method facilitates the computation of the normal inverse.

Additionally, the Heston tab is dedicated to pricing options within a framework of stochastic volatility via Monte Carlo simulation, enhancing the accuracy of pricing outcomes.

Furthermore, the application accommodates the pricing of European options using the Black-Scholes model and includes functionalities for calculating implied volatility. Normal distributions are derived through direct integration utilizing the Simpson method, optimized for low tolerance levels.

In summary, this application integrates four robust calculators:
<ul>
 <li>Monte Carlo simulator for standard European and power options.</li>
 <li>Monte Carlo simulator tailored for European options adhering to the Heston model with stochastic volatility.</li>
 <li>Black-Scholes calculator capable of delivering prices, Greeks, and implied volatility computations.</li>
 <li>Simulation tab that visualizes Brownian motion with drift in either two-dimensional format or against time.</li>
</ul>

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