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).,

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