Option Pricing

OptionTutorialExcelNotes
Implied VolatilityxxNewton-Raphson and VBA
Implied VolatilityxxBisection Method and VBA
Shout Optionsxx
Extendible Optionsxx
Compound Optionsxx
American OptionsxxBjerksund & Stensland, Barone-Adesi & Whaley, Binomial & Trinomial Tree
Forward Start Optionsxx
Chooser OptionsxxSimple & Complex
Exchange Optionsxx
Quanto Optionsxx
Bond Optionsxx
European Swaptionxx
Caplets & Floorletsxx
European Options (Jump Diffusion)xxJump Diffusion
Foreign Exchange Optionsxx
Lookback OptionsxxEuropean Floating & Fixed Strike
Binary Optionsxx
Asian OptionsxxGeometric & Arithmetic Average
Jump Diffusionxx
American OptionsxxBinomial Tree
American OptionsxxTrinomial Tree
Binomial Option PricingxxTutorial & spreadsheets for European, American, Shout, Compound Chooser
Implied VolatilityxxGoal-Seek & Newton Raphson
Arithmetic Brownian Motionx
Geometric Brownian Motionxx
Extreme Spread and Reverse Extreme Spread Optionsxx
Credit Default Swap CalculatorxxCreditGrades model
Miltersen & Schwartz Commodity Optionxx
Pricing Cliquet Optionsxx
Pricing Double Barrier OptionsxxIkeda & Kunitomo (1992)
European Option Pricing with Trinomial TreexxIncludes VBA
LIBOR OptionsxBlack-76 model including Z-spread
Black-Scholes Option Price and Greeks in VBAxFree VBA, can be used in your own spreadsheets
Price Bond Options with a Binomial Treex
Garman Kohlhagen ModelxGarman Kohlhagen model for Foreign Exchance Options in VBA
Monte-Carlo Pricing of European OptionsxxIncludes VBA and spreadsheet
Time Switch Optionsxx
American Options with Single DividendxxRoll-Geske-Whaley method
Option Probability Calculatorx
Mirror OptionsxNew option type developed by Julián Manzano (2001)
Corrado & Su (1996) model for pricing options with skew and kurtosisxx
Black-Scholes & Greeksxx
Implied Dividend of a European OptionxxVia put-call parity
Strike Reset OptionsxStrike Reset Options

4 thoughts on “Option Pricing

  1. Hi Samir,

    I am a beginner in Excel . I don’t know how to calcuate Pip value also.

    I just need a spreadsheet to pull data from external source and

    just input Spot price or ATM value to calculate intrinsic value and extrinsic value. My

    intention is to split Premium of option into (a) intrinsic and (b) intinsic value to assess whether it is worth to go for a trade. And divide the extrinsic value by days to assess worth taking the trade.

    Can you help me figure out spreadsheet or just a formula for calculating pips for fx options:

    Five columns

    Spot price (fixed for all selected bottom rows to be input by hand)

    Strike Price (pulled from external source) CME futures source
    Premium (pulled from external source) CME futures source

    Intrinsic value in Pips (calculated by formula Premium minus Strike price)
    Extrinwic value in Pips (calculated by formula Premium minus Intrinsic value)

    ATM 1.1450
    Strike: 1.1220
    Premium: 320
    Intrinsic 230 (1.1450-1.1220)
    Extrinsic 90 (320-230)

    Thank you

  2. Dear Sir

    Thanks for your valuable inputs and i respect you time and energy spent to develop the forumala and make it free in public domain, I like to know how to calculate the mispricing option formula.

    Regards
    Bhaskaran.G
    Warangal.Telangana State.
    India.
    +91 9100375623

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