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Pricing Double Barrier Options
Double Barrier options are path-dependent options. They have two pre-defined barriers, one higher and one lower than the current asset price. If the asset price crosses either barrier, the option…
Trinomial Tree for Pricing European Options
This article presents an Excel spreadsheet and VBA for pricing European options with a trinomial tree.
Miltersen and Schwartz Commodity Option
This guide introduces Miltersen & Schwartz commodity options, and provides a pricing spreadsheet.
Credit Default Swap Calculator in Excel
This article introduces credit default swap (CDS) contracts, and offers a free Excel spreadsheet that employs the CreditGrades model to price CDS spreads.
Extreme Spread Options
This article introduces extreme spread and reverse extreme spread options, and offers an Excel pricing spreadsheet.
Calculate Implied Volatility with VBA
This article offers VBA code and a spreadsheet to calculate the implied volatility of an option. This parameter is often compared to the historical volatility of the underlying asset to determine if the…
Shout Options – Introduction and Spreadsheet
This article introduces shout options and offers a pricing pricing spreadsheet. A shout option let investors lock in profits before maturity, but leaves room for future gains.
Pricing Extendible Options in Excel
This article introduces extendible options, and provides pricing free spreadsheets. Extendible options are a type of compound option and allow the life of the option to be extended beyond the…
Compound Options – Introduction and Pricing Spreadsheet
This article introduces compound options, and provides a pricing spreadsheet. Companies often use compound options when tendering for a contract; the option hedges against the risk of winning the contract.