Case study 02
Option Pricing Engine
Live Monte Carlo pricing with honest standard errors.
A browser-native TypeScript engine for vanilla, path-dependent, American, Heston, and two-asset contracts, with sampling error reported beside each estimate.
Evidence at a glance
- Runtime
- Worker-backed simulation with a main-thread fallback.
- Reporting
- Standard error and a 95% confidence interval accompany each estimate.
- Scope
- Vanilla, path-dependent, American, Heston, basket, and best-of contracts.
A price estimate needs an error bar.
The browser engine keeps the stochastic model, payoff, sampling method, and uncertainty report visible together. A number is not presented as exact when it came from simulation.
Numerical scope
The TypeScript engine covers vanilla and path-dependent contracts, Longstaff-Schwartz American puts, Heston QE, and correlated two-asset basket and best-of calls.
Runtime boundary
Pricing runs in a web worker when available. If worker startup or execution fails, the same engine has a main-thread fallback and reports an inline error if both paths fail.
Price a contract
Select a payoff and model, set the market inputs, then run a batch. The path canvas, estimate, standard error, confidence interval, and ledger update from the real engine result.
Run a batch to draw sample paths.
| Batch | Paths | Estimate | Std. error | 95% interval |
|---|---|---|---|---|
| No batches yet. Each run prices 12,000 paths with 52 steps in a worker. | ||||
No closed form for this contract here, so the engine reports sampling error instead.