OPM 1.02

Rex Burdett ❘ Freeware ❘
iOS

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The OPM App offers a range of option pricing models applicable to various option types, including Vanilla, Binary, Barrier, Lookback, and Asian options.

Evaluating pricing variance across multiple models can serve as a valuable check on the robustness and realism of the valuations.

Please note that calculations for exotic options may require several minutes to complete, particularly if the steps parameter is set to a high value. Similarly, vanilla options may also experience increased computation times under these conditions. Each displayed price corresponds to a distinct model, so processing time depends on the number of models and the complexity of calculations involved.

The following pricing models are employed where appropriate for each option type:

<ul>
<li>Black-Scholes model and closed-form solutions resembling Black-Scholes (for vanilla options)</li>
<li>Monte Carlo simulation, with user-defined parameters for trials and samples per day</li>
<li>Various binomial and trinomial tree methods, with user-input time steps</li>
<li>Finite difference techniques, including implicit, explicit, and hopscotch schemes, with optional change of variables; parameters such as time steps and underlying multiplier steps are user-defined</li>
<li>Control variate methods to improve estimation accuracy</li>
</ul>

Contract-specific input variables include:

<ol>
<li>Underlying asset (spot or future price)</li>
<li>Strike price</li>
<li>Volatility</li>
<li>Days until expiration</li>
<li>Risk-free interest rate</li>
<li>Underlying yield</li>
</ol>

For barrier options, the barrier level (up or down) is specified by the user. Additionally, since Asian options lack recombining tree structures, their time steps are input separately to facilitate accurate modeling.

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