Barrier Option Calculator

As an example of the calculations possible with Option Tutor, we have developed this JAVA Barrier Option calculator. It uses the same analytic code as Option Tutor, and is based on a trinomial lattice. It allows you to calculate (see below) the prices and implied volatilities of vanilla options as well as barrier options, and produces the hedge parameters.

To use this calculator, select the type of option, enter the data and click the "Calculate" button.

Notes:

To calculate the price of an option, make sure that the "Implied Volatility" is not checked.
To calculate implied volatility, check "Implied Volatility" and enter a (feasible) "Option Price."

The program uses the volatility you specify as a starting value. Especially for barrier options, it is important that this be a good estimate. To get a good starting value, you can change the volatility and see what happens to the price.
If the implied volatility is shown as -999, then it means that the program failed to converge. This typically happens when the option price you have entered is inconsistent with the other parameters.
When you calculate an implied volatility, the Greek parameters are calculated based on the implied volatility. If you calculate a price, the Greek parameters are calculated using the volatility you specified.