Options Pricing Monte Carlo v2.0

Options Pricing Monte Carlo v2.0

Tenacious App Production, LLC  ❘ Freeware
iOS
fuori voti 3
Ultima versione
v2.0
Cassaforte da installare
EXCELLENT User Rating

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:

  • Monte Carlo simulator for standard European and power options.
  • Monte Carlo simulator tailored for European options adhering to the Heston model with stochastic volatility.
  • Black-Scholes calculator capable of delivering prices, Greeks, and implied volatility computations.
  • Simulation tab that visualizes Brownian motion with drift in either two-dimensional format or against time.

Panoramica

Options Pricing Monte Carlo è un software Freeware nella categoria Affari sviluppato da Tenacious App Production, LLC.

L'ultima versione di Options Pricing Monte Carlo is v2.0, pubblicato su 10/01/2025. Inizialmente è stato aggiunto al nostro database su 10/01/2025.

Options Pricing Monte Carlo viene eseguito sui seguenti sistemi operativi: iOS.

Gli utenti di Options Pricing Monte Carlo ha dato un punteggio di 5. 5 stelle su 5.

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