0002hamptoncourt - Colourful pottery  

Here is my Monte Carlo pricer, that I created for my Master's Thesis (Imperial College supervised by Prof. Albanese). It uses some new techniques such as principal component analysis and also some new ideas! It prices discretely monitored barrier call options, with a down and out barrier. A closed form approximation does exist for this (which works well provided the barrier is not very close to spot), so you can compare how good my MC price is. The offline version also prices arithemtic Asian options (which cannot be solved for in closed form). Note this web version is only limited to 10000 scenarios and 500 cash flow dates!

Spot
Volatility
Strike
Maturity
# Cash Flow Dates
Interest Rate
Lower Barrier