Option Pricing
Estimate fair option value using Black-Scholes + Monte Carlo price path simulation
A simulation that estimates the fair value of a financial option using the Black-Scholes model powered by Monte Carlo. It simulates thousands of stock price paths and calculates what the option is worth today — along with the range of possible outcomes by expiry date.
Answer the question: "Given the current stock price, strike price, and market volatility — what is this option actually worth, and what's the range of possible outcomes by expiry?"
Data — What data do you need
| Field | Power BI field / example | Description |
|---|---|---|
| Asset / Symbol | AAPL, GOOGL, MSFT, TSLA | The stock ticker — used to group option output by asset. |
| Underlying Price | Sum of UnderlyingPrice | The current market price of the stock. |
| Implied Volatility | Sum of ImpliedVolatility | Market's expectation of future price movement as a decimal (0.25 = 25%). |
| Strike Price | Sum of StrikePrice | The price at which the option can be exercised. |
| Quote Date | QuoteDate | When the option price was recorded. |
| Expire Date | ExpireDate | When the option contract expires — time to expiry drives the simulation horizon. |
Use Case — Pricing a Call Option on AAPL
Scenario: A derivatives analyst has a dataset of open option contracts for four tech stocks. They want to see the fair value estimate and probability range for each contract — directly inside their Power BI dashboard, without leaving to Bloomberg or a separate tool.
Configuration:
- ▸Problem Type: Option Pricing
- ▸Asset: Symbol (AAPL, GOOGL, MSFT, TSLA)
- ▸Underlying Price: Sum of UnderlyingPrice
- ▸Implied Volatility: Sum of ImpliedVolatility
- ▸Strike Price: Sum of StrikePrice
- ▸Quote / Expire Date: QuoteDate, ExpireDate
Sample output — fair value estimate per asset with P10/P50/P90 price paths:
| Asset | Strike Price | Underlying | Implied Vol | Fair Value (P50) | P10 | P90 |
|---|---|---|---|---|---|---|
| AAPL | $150.00 | $172.45 | 0.28 | $24.30 | $18.10 | $31.50 |
| GOOGL | $2,800.00 | $2,965.00 | 0.31 | $198.40 | $142.20 | $261.80 |
| MSFT | $280.00 | $305.20 | 0.24 | $31.60 | $22.40 | $41.30 |
| TSLA | $220.00 | $248.70 | 0.62 | $46.80 | $28.50 | $71.20 |
