Derivative Calculator

Change the initial price of the underlying; the strike price of the underlying; the interest rate range (from lower to upper rate). Pick from 1 to 8 randomly generated interest rate scenarios. Check the status bar for any input errors. The applet generates an interest rate scenario and price scenario based on simulated movements in 100 discrete periods (about every 2 trading days). The scenarios unfold in time in the red slider bars, from the first period to the 100th period at the end of the year. The Answer -- the Expected Value of the Derivative -- is the average of the option values over all scenarios.

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