TAP Monte Carlo Support

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Option Pricing Monte Carlo

Welcome to my site and thank you for your interest in Options Pricing.

First of all, I would like to tell you that this is the FIRST EVER options pricer using Monte Carlo deployed on a mobile device.

The app allows you to run up to 350,000,000 simulations in less than 20 seconds (depending on your iOS device). The simulations run local so you need no internet connection.

Question is, if you have Black Scholes, why run Monte Carlo? Two reasons: You could have a different payoff function (say power) or you have stochastic vol. Both features are implemented. Another reason might be that you have path dependent payoff – say Asian options. I have not implemented asian options because it is a bit difficult to keep track of existing options’ average and start date.

Well, let’s see some screenshots then:

Simulator Screen Shot - iPhone 8 Plus - 2018-06-08 at 19.50.35

Here is a video demo:

 

 

Below you can see the Monte Carlo and Heston Stochastic Vol pages.

 

 

However you also have access to a full Black Scholes calculator and an implied vol calculator, which is very useful if you trade options. The normal is calculated by direct integration using Simpson method with a low tolerance.

 

 

Additionally, I include a bond risk calculator, providing yield, DV01, Convexity and Duration for a given bond. Note: the yield is calculated with continuous compounding, but I will change to coupon frequency in a future version.

So 4 calculators in one:
– Monte Carlo simulator for regular European log-normal and Power and options. Additionally I added a calculator for Normally distributed stock – Bachelier model.

– Monte Carlo simulation for Heston model – stochastic vol.

– Black Scholes calculator for price and greeks and implied vol.

– Brownian Motion Monte Carlo Simulator in 2D or vs time.

Please download my app from the app store and use it!

 

Here is the link to a short demo of the app.

Alan

 

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