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Is there an all Java options-pricing library (preferably open source) besides jquantlib?

Can anyone recommend a library with an implementation of Black Scholes and Monte Carlo in Java? Ideally something that is Java only and doesn't require a C++ dll or .so or .lib etc..

I've posted a similar question about open source and the choices appear to be quite limited thus far:

Quantlib - C++ using SWIG or similar to communicate with JVM JQuantLib - port of QuantLib to pure Java, but can't access site for 2 days now. finmath.net - Appears to be all java and has promise, but finding problems running applets using it.

Presently, this is for pricing very simple vanilla euro-style options. But must be open to the complexity that's sure to come prob. requiring Monte Carlo or other pricing models.

Thanks in advance.


2 Answers 2


This one is in C#, but it could help you create yours in Java: Divergence issue with my monte carlo pricer...

using System;
using System.Threading.Tasks;
using MathNet.Numerics.Distributions;
using MathNet.Numerics.Random;

namespace MonteCarlo
    class VanillaEuropeanCallMonteCarlo
        static void Main(string[] args)
            const int NUM_SIMULATIONS = 10000000;
            const decimal strike = 50m;
            const decimal initialStockPrice = 52m;
            const decimal volatility = 0.2m;
            const decimal riskFreeRate = 0.05m;
            const decimal maturity = 0.5m;
            Normal n = new Normal();
            n.RandomSource = new MersenneTwister();

            VanillaEuropeanCallMonteCarlo vanillaCallMonteCarlo = new VanillaEuropeanCallMonteCarlo();

            Task<decimal>[] simulations = new Task<decimal>[NUM_SIMULATIONS];

            for (int i = 0; i < simulations.Length; i++)
                simulations[i] = new Task<decimal>(() => vanillaCallMonteCarlo.RunMonteCarloSimulation(strike, initialStockPrice, volatility, riskFreeRate, maturity, n));


            decimal total = 0m;

            for (int i = 0; i < simulations.Length; i++)
                total += simulations[i].Result;

            decimal callPrice = (decimal)(Math.Exp((double)(-riskFreeRate * maturity)) * (double)total / (NUM_SIMULATIONS * 2));

            Console.WriteLine("Call Price: " + callPrice);
            Console.WriteLine("Difference: " + Math.Abs(callPrice - 4.744741008m));

        decimal RunMonteCarloSimulation(decimal strike, decimal initialStockPrice, decimal volatility, decimal riskFreeRate, decimal maturity, Normal n)
            decimal randGaussian = (decimal)n.Sample();
            decimal endStockPriceA = initialStockPrice * (decimal)Math.Exp((double)((riskFreeRate - (decimal)(0.5 * Math.Pow((double)volatility, 2))) * maturity + volatility * (decimal)Math.Sqrt((double)maturity) * randGaussian));
            decimal endStockPriceB = initialStockPrice * (decimal)Math.Exp((double)((riskFreeRate - (decimal)(0.5 * Math.Pow((double)volatility, 2))) * maturity + volatility * (decimal)Math.Sqrt((double)maturity) * (-randGaussian)));
            decimal sumPayoffs = (decimal)(Math.Max(0, endStockPriceA - strike) + Math.Max(0, endStockPriceB - strike));
            return sumPayoffs;

You could try to see if NAG could suit your needs as I suggested in this post.

It's not free, but I think it's a pretty good tool to tackle problems of any complexity.

I haven't personally tested it though.

  • 1
    $\begingroup$ Going with NAG would be a huge commitment for "pricing very simple vanilla euro-style options". $\endgroup$ Sep 14, 2011 at 22:51
  • $\begingroup$ yes but he was looking for a library that "must be open to the complexity that's sure to come prob. requiring Monte Carlo or other pricing models", otherwise, you don't need any library at all to price vanilla euro options using Monte-Carlo. Simply java.util.Random, and maybe a pen and a paper is enough. $\endgroup$
    – SRKX
    Sep 15, 2011 at 7:34

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