| Compound Options (Binomial Tree) with VBA | This Excel spreadsheet prices compound options with a Cox-Ross-Rubinstein binomial tree, and also calculates the Greeks (Delta, Gamma and Theta). The VBA can be viewed and modified. |
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| Compound Options | This Excel spreadsheet prices compound options with the equations given by Rubinstein (1991) and Geske (1979). It is coded in VBA and uses an approximation for the bivariate cumulative probability distribution function. The VBA can be viewed and modified. |
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| American Options | Excel spreadsheet for Bjerksund & Stensland, Ju & Zhong, and Barone-Adesi & Whaley Approximations for American Options. The VBA can be viewed and is not protected. |
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| Asian Options | This Excel spreadsheet gives the price of an Asian Option based on geometric averages (Kemna & Vorst, 1990) and arithmetic averages (Levy, 1991). All formulas are exposed and can be modified. |
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| American Options (Binomial Tree) | This Excel spreadsheet prices an American option with a Binomial Tree. The spreadsheet also draws the pricing lattice. The VBA is unlocked and exposed |
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| American Option (Trinomial Tree) | This Excel spreadsheet prices an American option with a Trinomial Tree. The VBA is unlocked and can be viewed |
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| Credit Default Swap Calculator | This Excel spreadsheet implements the CreditGrades model to price CDS spreads. The VBA can be viewed and modified. |
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| American/European Option + Greeks via Binomial Tree | American & European Options + Greeks via Binomial Tree. The VBA is open and can be viewed |
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| Monte Carlo Option Pricing | Monte Carlo pricing of European, Lookback, Asian & Barrier options. The VBA is open and can be viewed/edited |
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| Options on Libor | This Excel 2010 spreadsheet prices Options on Libor with the Black 75 model |
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| Binomial Option Pricing | This Excel spreadsheet prices European, Compound, Shout and Complex Chooser options using a binomial tree. The VBA can be viewed and edited |
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