| Implied Volatility | x | x | Newton-Raphson and VBA |
| Implied Volatility | x | x | Bisection Method and VBA |
| Shout Options | x | x | |
| Extendible Options | x | x | |
| Compound Options | x | x | |
| American Options | x | x | Bjerksund & Stensland, Barone-Adesi & Whaley, Binomial & Trinomial Tree |
| Forward Start Options | x | x | |
| Chooser Options | x | x | Simple & Complex |
| Exchange Options | x | x | |
| Quanto Options | x | x | |
| Bond Options | x | x | |
| European Swaption | x | x | |
| Caplets & Floorlets | x | x | |
| European Options (Jump Diffusion) | x | x | Jump Diffusion |
| Foreign Exchange Options | x | x | |
| Lookback Options | x | x | European Floating & Fixed Strike |
| Binary Options | x | x | |
| Asian Options | x | x | Geometric & Arithmetic Average |
| Jump Diffusion | x | x | |
| American Options | x | x | Binomial Tree |
| American Options | x | x | Trinomial Tree |
| Binomial Option Pricing | x | x | Tutorial & spreadsheets for European, American, Shout, Compound Chooser |
| Implied Volatility | x | x | Goal-Seek & Newton Raphson |
| Arithmetic Brownian Motion | x | | |
| Geometric Brownian Motion | x | x | |
| Extreme Spread and Reverse Extreme Spread Options | x | x | |
| Credit Default Swap Calculator | x | x | CreditGrades model |
| Miltersen & Schwartz Commodity Option | x | x | |
| Pricing Cliquet Options | x | x | |
| Pricing Double Barrier Options | x | x | Ikeda & Kunitomo (1992) |
| European Option Pricing with Trinomial Tree | x | x | Includes VBA |
| LIBOR Options | | x | Black-76 model including Z-spread |
| Black-Scholes Option Price and Greeks in VBA | | x | Free VBA, can be used in your own spreadsheets |
| Price Bond Options with a Binomial Tree | | x | |
| Garman Kohlhagen Model | | x | Garman Kohlhagen model for Foreign Exchance Options in VBA |
| Monte-Carlo Pricing of European Options | x | x | Includes VBA and spreadsheet |
| Time Switch Options | x | x | |
| American Options with Single Dividend | x | x | Roll-Geske-Whaley method |
| Option Probability Calculator | x | | |
| Mirror Options | x | | New option type developed by Julián Manzano (2001) |
| Corrado & Su (1996) model for pricing options with skew and kurtosis | x | x | |
| Black-Scholes & Greeks | x | x | |
| Implied Dividend of a European Option | x | x | Via put-call parity |
| Strike Reset Options | | x | Strike Reset Options |
Hi, is there an example of a one-touch binary option? Thank you.
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
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
Do you have an Excel spreadsheet that will pull option pricing?
Yeah I would Definitely pay for a way to Automatically pull option data for multiple stocs on a certain date