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micha12
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Posts: 99
Joined: July 15th, 2003, 9:42 pm

Freeware Exotic Options Calculator

April 14th, 2009, 10:55 pm

We created the first beta version of our freeware Exotic Options Calculator - it can be downloaded at http://www.mgsoft.ru/en/products_option ... r.aspx.The calculator currently supports Asian, Barrier and Lookback options.All of them are valued using Monte Carlo simulation.One of the key features of the calculator is the ability to price options with an arbirary set of monitoring dates - which means that you can price, for example, an asian option whose average price is calculated between April 15, May 9 and July 29. We have not found this feature in any of the freeware calculators available for download on the Internet.The current version of the calculator uses straight Monte Carlo simulation, with no optimizations, so the MC simulation seems to be not very fast.Unfortunately, very few banks in Russia are trading asian, barrier and lookback options at the current time. So our calculator will probably be more interesting for users in Europe and the USA.Feel free to download the calculator (it is absolutely freeware) and post your comments! We would be happy to get your feedback.
Last edited by micha12 on April 20th, 2009, 10:00 pm, edited 1 time in total.
 
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jdln
Posts: 3
Joined: April 25th, 2008, 7:13 pm

Freeware Exotic Options Calculator

April 16th, 2009, 1:45 pm

very nice. thanks.
 
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micha12
Topic Author
Posts: 99
Joined: July 15th, 2003, 9:42 pm

Freeware Exotic Options Calculator

April 16th, 2009, 11:04 pm

Thank you for your comment, jdln
 
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tigerbill
Posts: 360
Joined: April 22nd, 2004, 7:14 pm

Freeware Exotic Options Calculator

May 1st, 2009, 7:13 am

QuoteOriginally posted by: micha12Thank you for your comment, jdln Hi, micha12, thanks for the freeware.I wrote a post on my blog and put the link at Exotic Options Calculator, please tell me if you are unhappy with that.
 
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micha12
Topic Author
Posts: 99
Joined: July 15th, 2003, 9:42 pm

Freeware Exotic Options Calculator

May 1st, 2009, 8:20 am

QuoteI wrote a post on my blog and put the link at Exotic Options Calculator, please tell me if you are unhappy with that.It's a great pleasure for us - thank you, tigerbill!
 
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micha12
Topic Author
Posts: 99
Joined: July 15th, 2003, 9:42 pm

Freeware Exotic Options Calculator

May 12th, 2009, 10:28 pm

Dear those who downloaded the calculator, I would be grateful if you could write a few comments - by either sending us an e-mail or just writing a short message on the forum. Did you like the calculator? What do you think needs to be improved? What are the next most important features that we should focus on? We should be grateful for any feedback - either positive or negative!By the way, what are the popular sites where freeware financial and derivatives software can be put?
 
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DrBen
Posts: 499
Joined: February 8th, 2003, 1:24 pm

Freeware Exotic Options Calculator

May 17th, 2009, 9:49 am

You should check-out the Freeware Excel Add-in I put out a few years back, available at:http://www.webcabcomponents.com/office/index.shtmlwith a number of standard Exotic and Vanilla Options contracts which are evaluated in accordance with the Black-Scholes model using either Monte Carloand/or Finite Differencing PDE pricing techniques. In particular, it offers the following contract pricing models: * Asian Options - Evaluate the present value using Monte Carlo or Finite Differencing pricing techniques. * Lookback Options - Evaluate the present value using Monte Carlo or Finite Differencing pricing techniques. * Barrier Options - Evaluate the present value using a Monte Carlo approach. * Parisian Options - Evaluate the present value using a Monte Carlo approach. * Parasian Options - Evaluate the present value using a Monte Carlo approach. * European (Vanilla) Options - Evaluate the present value using a Monte Carlo or Finite Differencing PDE pricing techniques * Binary Options (in particular, cash-or-nothing Binary Option) - Evaluate the present value using Monte Carlo or Finite Differencing PDE pricing techniques. The direct function doc link is:http://www.webcabcomponents.com/office/ ... es.htmlits got a bunch of other stuff to, most useful for options being implied vol.I wanted to put something out for the community to use but naturally cannot offer much support and do not expect updates any timesoon since I have a cue forming for parties who all want J2EE based enterprise risk management systems (surprise, surprise).
Last edited by DrBen on May 17th, 2009, 10:00 pm, edited 1 time in total.
 
Vivzjx
Posts: 1
Joined: October 17th, 2017, 5:58 am

Re: Freeware Exotic Options Calculator

October 17th, 2017, 6:17 am

You should check-out the Freeware Excel Add-in I put out a few years back, available at:http://www.webcabcomponents.com/office/index.shtmlwith a number of standard Exotic and Vanilla Options contracts which are evaluated in accordance with the Black-Scholes model using either Monte Carloand/or Finite Differencing PDE pricing techniques. In particular, it offers the following contract pricing models:    * Asian Options - Evaluate the present value using Monte Carlo or Finite Differencing pricing techniques.    * Lookback Options - Evaluate the present value using Monte Carlo or Finite Differencing pricing techniques.    * Barrier Options - Evaluate the present value using a Monte Carlo approach.    * Parisian Options - Evaluate the present value using a Monte Carlo approach.    * Parasian Options - Evaluate the present value using a Monte Carlo approach.    * European (Vanilla) Options - Evaluate the present value using a Monte Carlo or Finite Differencing PDE pricing techniques    * Binary Options (in particular, cash-or-nothing Binary Option) - Evaluate the present value using Monte Carlo or Finite Differencing PDE pricing techniques. The direct function doc link is:http://www.webcabcomponents.com/office/ ... es.htmlits got a bunch of other stuff to, most useful for options being implied vol.I wanted to put something out for the community to use but naturally cannot offer much support and do not expect updates any timesoon since I have a cue forming for parties who all want J2EE based enterprise risk management systems (surprise, surprise).
Hi Dr.Ben,
The link you provided is expired, could you please upload them again? Thanks.
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