MG Soft


Exotic Options Calculator

MG Soft Exotic Options Calculator is a freeware application designed to calculate the value and greeks of vanilla and exotic options, primarily via Monte Carlo simulation. The calculators are using valuation functions from PLaNETa.

The application has the following main features at the current time.

  • Calculation of fair value and greeks for the following options.
    • Vanilla Options (using standard Black-Scholes formulae).
    • Binary (Cash-or-nothing) Options (using standard analytical formulae).
    • Asian Options (using Monte Carlo simulation).
    • Barrier Options (using Monte Carlo simulation).
    • Lookback Options (using Monte Carlo simulation).
  • Asian, Barrier and Lookback Options can have a set of arbitrary monitoring dates — i. e., you can value an Asian option whose payoff is calculated based on the average price between February, 23, March, 8 and June, 12.
  • Each Monte Carlo simulation is performed in a separate thread — which means that you can value several different options at the same time.

Screenshots

Download links

The latest version of the application can be downloaded at using the following link.

We will be happy to receive your comments regarding our application. Please contact us at support@mgsoft.ru. Your feedback will help us improve the calculators.

© MG Soft, 2014