MonteCarlo Properties

Number of basis functions for least square approximation.

Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time.

Color, or gamma decay, measures the rate of change of gamma over the passage of time.

Delta measures the rate of change of option value with respect to changes in the underlying asset's price.

Exercise payout function for custom option style.

Expected return of the underlying asset. Used for geometric brownian price model.

Gamma measures the rate of change in the delta with respect to changes in the underlying price.

Next price function. Used for custom price model.

Next volatility function. Used for custom price model.

Option style.

Type of option.

Price model used for price paths generation.

Number of price paths.

Random generator used for prices paths generation.

Rho, the derivative of the option value with respect to the risk free rate.

Speed measures the rate of change in Gamma with respect to changes in the underlying price.

Number of time steps.

Stock price of the underlying asset.

Strike price of the underlying asset.

Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay".

Time to the expiration date measured in years.

Value of the option.

Vanna, the second derivative of the option value with respect to the volatility.

Vega, the derivative of the option value with respect to the volatility of the underlying asset.

Volatility of the underlying asset.

Zomma measures the rate of change of gamma with respect to changes in volatility.