Option Pricing with Monte Carlo Simulation under Heston Stochastic Volatility Model

This application is a non-exotic and exotic option price simulator using Monte Carlo simulation. It prices options under Black–Scholes/Heston model with Milstein/Euler scheme. This GUI app allows users to directly input parameters and choose model and scheme to get simulated option prices.

Gen Li
Gen Li
Finance Ph.D. student

My research interests include empirical asset pricing, household finance, corporate finance.