Option Pricing Archives - Page 3 of 4

Pricing European Swaptions with Excel

This article introduces introduces interest-rate options,or Swaptions, and provides a pricing spreadsheet. They are popular with institutions that have cash-flow requirements which are affected by interest rates.

Pricing Foreign Exchange Options

This article introduces Foreign Exchange Options, and provides an Excel spreadsheet to calculate their price.

Pricing Caplets and Floorlets with Excel

Caplets and Floorlets with the Black Model

A Cap or Floor option protect the buyer from changes in interest rates.

European Options under Jump Diffusion

This guide offers an Excel spreadsheet and tutorial that explores the importance of modeling jump diffusion when predicting option prices.

Pricing Lookback Options

Lookback options let the contract holder trade the underlying asset at the optimum price reached over the life of the contract. They are often purchased by investors who want to avoid the regret of not anticipating the correct market timing.

Excel Spreadsheets for Binary Options

This article introduces binary options and provides several pricing spreadsheets.

Asian Options – Tutorial and Excel Spreadsheet

This articles explores Asian options, and offers an Excel spreadsheet based on geometric and arithmetic averages.

Pricing American Options with a Trinomial Tree and Excel

Trinomial option pricing was proposed by Boyle (1986) and extends the binomial method to better reflect the actual behavior of financial instruments.

Jump Diffusion

This Excel spreadsheet provides a simple implementation of jump diffusion. This technique is useful for modeling stock prices (or indeed other commodities, such as energy prices) subject to sudden shocks.

Binomial Tree for Pricing American Options

This Excel spreadsheet prices an American option with a Binomial Tree. The spreadsheet also generates the pricing lattice, which can be viewed.

Implied Volatility

Learn about implied volatility, how it effects trading strategies and download a spreadsheet.

Binomial Option Pricing Tutorial and Spreadsheets

This tutorial introduces binomial option pricing, and offers an Excel spreadsheet to help you better understand the principles. Additionally, a spreadsheet that prices Vanilla and Exotic options with a binomial tree is provided.