This was the final question in Mark Zyla's amazing 4 hour webinar today live from his Atlanta Acuitas office. "Monte Carlo, Black Scholes, and binomial option pricing modeling methods are becoming increasingly important in valuation," Mark agreed. His suggestions for each OPM technique:
- Monte Carlo--"There are two industry leaders for Monte Carlo simulations," Mark confirmed. They are Crystal Ball from Oracle, and @Risk.
- Black Scholes--"the math can look a bit daunting," said Mark, "but once you get into it you'll find that you can create your own on Excel. To increase your comfort level with your own model, however, Mark recommends "Googling 'Black Scholes' and testing similar assumptions in your model vs. those you find on the web."
- Binomial/lattice--"I also think it's easiest to create your own model on Excel, but there are many good commercial programs out there," Mark said. As a starting point, he recommends the DerivaGem Equity Binary Option Model.