monte carlo simulation vs finite difference method

[ironchef]

Thanks for the coaching IAS_LLC.

I have a question for you: I can calculate Black-Scholes and often time use it to compare with market option price to get a sense of market sentiment but don't have the means to do monte carlo with it. Are there any off the shelf monte carlo software, e.g. within EXCEL, that I can use?

 

[IAS_LLC]

Im sure it can be done with excel, but i have no experience with it. Excel is a toy...youd be better off learning some other coding language to increase productivity

 

[ironchef]

Im sure it can be done with excel, but i have no experience with it. Excel is a toy...youd be better off learning some other coding language to increase productivity

I am a dinosaur. The only higher order coding language (as opposed to machine language) I know is FORTRAN and I don't even know if it still exist. So, what else is out there that is simple to use?

Thanks.

 

[IAS_LLC]

Fortran is still very much alive!

 

[IAS_LLC]

Fortran is still very much alive!

If you're looking for a new language... try Python. If you can afford it... use matlab. If you can't afford it... take a look at Octave.

 

[xandman]

Thanks for the coaching IAS_LLC.

I have a question for you: I can calculate Black-Scholes and often time use it to compare with market option price to get a sense of market sentiment but don't have the means to do monte carlo with it. Are there any off the shelf monte carlo software, e.g. within EXCEL, that I can use?

There are hundreds. Some well known add-ins:

Excel Add-Ins
@Risk $1,195
Crystal Ball $995
Risk Solver $995
DFSS Master $399
RiskAMP Add-In for Excel $129.95
Risk Analyzer $49.95