Options Pricing Monte Carlo

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).