Option Pricing Archives - Page 2 of 4

Miltersen and Schwartz Commodity Option

This guide introduces Miltersen & Schwartz commodity options, and provides a pricing spreadsheet.

Pricing Cliquet Options

Learn about Cliquet options and download a free 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 an Excel 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 price of an option represents good value.

Shout Options – Introduction and Spreadsheet

This article introduces shout options and offers a 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 …

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.

Pricing LIBOR Options with Excel

This Excel spreadsheet calculates the price of a LIBOR option using the Black-76 model.

American Options – Pricing Methods and Spreadsheets

Barone-Adesi Whaley Bjerksund Stensland Ju Zhong

This article summarizes several methods for pricing American options, and provides free spreadsheets for each.

Forward Start Options – Introduction and Spreadsheet

Forward start options are purchased in the present, but have a strike that is determined afterwards (i.e. at the forward date) but before maturity. At the forward date, the option becomes a standard European option.

Pricing Simple and Complex Chooser Options with Excel

This article introduces Chooser Options, and provides a pricing spreadsheet. Chooser options give the investor the privilege of choosing whether the option is a put or a call at some predetermined date.

Exchange Options – Introduction and Pricing Spreadsheet

This article introduces European Exchange Options, developed by Margrabe in 1978, and offers a free a pricing spreadsheet.

Quanto Options – Guide and Spreadsheet

This guide introduces quanto options, and provides a pricing spreadsheet. Quantos are options that hedge against exchange rate risk. Typical examples are Nikkei index warrants.

Bond Options – Introduction and Pricing Spreadsheets

This article introduces Bond Options, and provides pricing spreadsheets which use the the Black (1976) and Schaefer & Schwartz (1987) models.