This Excel spreadsheet contains Visual Basic (VBA) functions that calculate option price and risk (Greeks), namely:
Delta, Gamma, Speed, Vega, Volga, Vanna, Theta, Rho(=ppmu+ppr), ppmu (Sensitivity to Drift), ppr (Sensitivity to Risk-Free-Rate)
Black-Scholes Option Pricing Framework
Underlying Returns Distributions Assumptions: Log-Normal
Exercise Types: European
Product Types: Puts, Calls
Payoff Types: Digital (Binary), Analog (Vanilla)
The functions are exposed and usable within the spreadsheet cells.
A sample sheet is provided to demonstrate how the functions are used.
Please contact us if you have requests to customize the spreadsheet.
Requirements: Microsoft Excel 2016, 2013
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv.xlsm
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs\20200423_Fin_Deriv_20200423_150211_Lenovo_wc001.xlsm
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs\20200423_Fin_Deriv_20200423_150211_Lenovo_wc001.zip
This Excel spreadsheet contains Visual Basic (VBA) functions that calculate option price and risk (Greeks), namely:
Delta, Gamma, Speed, Vega, Volga, Vanna, Theta, Rho(=ppmu+ppr), ppmu (Sensitivity to Drift), ppr (Sensitivity to Risk-Free-Rate)
Black-Scholes Option Pricing Framework
Underlying Returns Distributions Assumptions: Log-Normal
Exercise Types: European
Product Types: Puts, Calls
Payoff Types: Digital (Binary), Analog (Vanilla)
The functions are exposed and usable within the spreadsheet cells.
A sample sheet is provided to demonstrate how the functions are used.
Please contact us if you have requests to customize the spreadsheet.
Requirements: Microsoft Excel 2016, 2013
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv.xlsm
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs\20200423_Fin_Deriv_20200423_150211_Lenovo_wc001.xlsm
D:\Dropbox\_\work\Fin_Deriv\_Theory\Fin_Deriv_Analytical_Cont_Graphs\20200423_Fin_Deriv_20200423_150211_Lenovo_wc001.zip