Professional
Derivatives Pricing
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Institutional-grade options pricing across four analytical frameworks — Black-Scholes, Monte Carlo, Binomial Tree, and Exotic Options — with full Greek suite, portfolio simulation, and real market data. No installation required.
Black-Scholes-Merton
Closed-form European option pricing with full Greek suite — Delta, Gamma, Vega, Theta, Rho, Vanna, Vomma — plus real market data integration and multi-leg portfolio simulation.
Open BSM →Monte Carlo
GBM path simulation for European options with convergence analysis, confidence intervals, real data pricing, and portfolio pricing across thousands of simulated paths.
Open Monte Carlo →Binomial Tree
CRR binomial lattice for European and American options with early exercise detection, interactive tree visualisation, and portfolio pricing with BSM comparison.
Open Binomial Tree →Exotic Options
Path-dependent exotics: Asian (arithmetic & geometric), Barrier (knock-in/out), Lookback (fixed & floating), Digital (cash/asset), and Rainbow (2-asset) with GBM path visualisation.
Open Exotics →Four complementary analytical frameworks: the Black-Scholes model for closed-form European pricing, Monte Carlo simulation for GBM path-based pricing, the CRR Binomial Tree for American early exercise, and Monte Carlo exotics for path-dependent payoffs.
All models return Greeks analytically or numerically with confidence intervals and BSM benchmarking.
- Log-normally distributed returns (GBM)
- Constant volatility and risk-free rate (BSM)
- American early exercise via CRR backward induction
- Path-dependent payoffs via discrete-time Monte Carlo
- Frictionless markets — no transaction costs
Volatility Surface & Term Structure: Reading the Market's Fear Gauge
Implied volatility is not flat. The volatility surface — spanning strikes and maturities — encodes the market's probability distribution of future returns. We explain the skew, term structure, and how traders use the surface.