This is a little gem that I found awhile back – Mathematica have a project whereby people can author a CDF document (computable document format) and publish them online for free. The CDF documents can be played using the Mathematica CDF Player which is free.
The usefulness of the player depends upon what CDFs have been published in a given area … it just happens that there are a lot of Options Pricing type CDFs.
How to Download the CDF Player
You can download the CDF player for desktop from the following link: Wolfram CDF Player Download. They have versions available for various platforms and it’s a simple case of downloading and installing the software (it is big so takes awhile).
Finding Useful CDF Documents
You can get useful CDF documents from the demonstrations project website: Wolfram Demonstrations Project. By visiting the website and searching for what you are looking for you can often find a lot of available CDF documents that other people have written. In particular there are a number of Options Pricing CDF documents: Option Pricing CDFs These option pricing CDFs are great for getting a feel for the shape of option prices, payoffs, sensitivities etc when learning about options.