Many years ago, for an old web site, I developed a nice option value calculator that handles various standard models. It calculates option values, so-called “Greeks”, and “smile curves” for the Black-Scholes model, Merton’s jump-diffusion, and various models with stochastic volatility or stochastic volatility with jumps. You can also use it to extract implied volatilities. Here’s a screenshot:
If you’re interested, here is the calculator available for download.
What you get is a zipped file that contains a Windows executable and a tutorial (help) file in pdf format. The software is free to use but is not maintained. After extracting the two files, put both of them in any convenient folder.
Download “OptionCity Calculator”OCRel11Free.zip – Downloaded 405 times – 409.51 KB