Quant tools
Calculators for learning how option values, simulations and volatility models behave. You choose the inputs; the results are model estimates under stated assumptions. They are not SEC-reported facts, market prices or recommendations.
Option pricing
Explore what affects an option's theoretical value
Estimate an option's value under a mathematical model from the price, strike, time left, volatility and an interest rate you enter.
Why use it: See why the model value changes and compare scenarios side by side.
Open toolNo sign-in neededMonte Carlo
Estimate option value through simulated scenarios
Simulate many possible prices at expiry and average the option's discounted payoffs to estimate its value.
Why use it: See how simulation-based pricing works and how more simulations make the estimate more precise.
Open toolSign-in needed to runVolatility (GARCH)
Explore how variability changes over time
Analyse a price or return series you supply to see how the size of its movements changes over time, and forecast it.
Why use it: Find calmer and more turbulent periods and see whether recent moves point to changing volatility.
Open toolSign-in needed to run
Methodology and validation
Data behind the tools
- Interest rates: the U.S. Treasury daily par yield curve (public domain), stored daily since 1990, used to pre-fill the risk-free rate. Newest curve: 2026-10-09.
- Historical prices: company-linked historical prices are currently unavailable, so the volatility tool works on a series you supply.
Does GARCH beat a simple baseline?
FinSavoir compares one-step-ahead forecasts from GARCH(1,1) with a rolling-variance baseline, in time order, on us_treasury_par_yield_120m_daily_changes (1990-01-03 to 2026-10-02, 8,694 forecasts, protocol garch_eval_v1). QLIKE loss (lower is better): -14.0210 for GARCH(1,1) against -13.9811 for the rolling variance_20 baseline; Diebold–Mariano t = -5.39, which favours garch. Run on 2026-10-05. This is evidence about that interest-rate series and period only; it is not a test on stock prices.
Full results, including checks of the option and simulation functions against independent reference values: Model performance.