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Roll-Geske-Whaley Method to Price American Options
Learn how to price American call options with the Roll-Geske-Whaley method, and get an Excel spreadsheet.
Calculate Implied Volatility with the Bisection Method
Get an Excel spreadsheet & VBA to calculate implied volatility with the bisection method. Discover how numerical bisection works, its advantages and disadvantages
Pricing Bond Options with a Binomial Tree
This Excel spreadsheet calculates the price of a Bond option with a binomial tree. Bond options give the purchaser the right (but not the obligation) to buy or sell a…
Monte Carlo Option Pricing with Excel
Learn how to price options with the Monte Carlo method, and get a pricing spreadsheet for European, Asian, Barrier and Lookback options.
Garman Kohlhagen Model and VBA
Get VBA and an Excel spreadsheet for the Garman Kohlhagen model, a method of pricing European foreign exchange options.
Black-Scholes and Greeks in VBA
Get VBA and an Excel spreadsheet for Black-Scholes and the Greeks (Delta, Gamma, Vega, Theta, Rho) here. You can easily use the VBA in your own option pricing spreadsheets.
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.