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Option pricing models and volatility using excel-vba

bboy0303
2013-10-10 06:13:56
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Pricing Option with VBAPricing Option with VBA Visual BasicVB

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Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." --Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." --Espen Gaarder Haug, option trader, philosopher, nd author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." --Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
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File list

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Name Size Date
Appendix.xls32.00 kB06-11-06 17:40
Chapter1ClampSpline.xls37.00 kB06-11-06 17:40
Chapter1Complex.xls33.50 kB17-01-07 18:58
Chapter1Exercises.xls76.50 kB06-11-06 17:40
Chapter1NatSpline.xls37.00 kB06-11-06 17:40
Chapter1NM.xls41.50 kB06-11-06 17:40
Chapter1OLS.xls31.00 kB06-11-06 17:40
Chapter1Roots.xls30.50 kB06-11-06 17:40
Chapter1WLS.xls35.50 kB06-11-06 17:40
Chapter1WLSbig.xls37.00 kB06-11-06 17:40
Chapter10EWIV.xls61.50 kB06-11-06 17:40
Chapter10Exercises.xls95.50 kB18-12-06 21:19
Chapter10Google.xls46.00 kB06-11-06 17:40
Chapter10HestonIV.xls79.00 kB06-11-06 17:40
Chapter10ImpliedVol.xls37.50 kB06-11-06 17:40
Chapter11Compare1.xls99.00 kB06-11-06 17:40
Chapter11Compare2.xls117.50 kB06-11-06 17:40
Chapter11DiscreteMFV.xls88.50 kB06-11-06 17:40
Chapter11Exercises.xls37.00 kB06-11-06 17:40
Chapter11Forward.xls46.00 kB06-11-06 17:40
Chapter11HistoricalVIX.xls670.00 kB06-11-06 17:40
Chapter11MFV.xls70.00 kB06-11-06 17:40
Chapter11RealVIX.xls47.00 kB06-11-06 17:40
Chapter11SimpleMFV.xls70.00 kB06-11-06 17:40
Chapter11VIX.xls45.50 kB06-11-06 17:40
Chapter12BKM-BS.xls104.00 kB06-11-06 17:40
Chapter12BKM-GC.xls110.50 kB06-11-06 17:40
Chapter12Exercises.xls160.50 kB06-11-06 17:40
Chapter12GoogleIV.xls161.50 kB06-11-06 17:40
Chapter12PlotKurt.xls425.00 kB06-11-06 17:40
Chapter12PlotSkew.xls569.50 kB06-11-06 17:40
Chapter12PlotVar.xls252.00 kB06-11-06 17:40
Chapter13DHGains.xls40.00 kB06-11-06 17:40
Chapter13Exercises.xls170.50 kB06-11-06 17:40
Chapter13KSwap.xls43.50 kB06-11-06 17:40
Chapter13Rebalance.xls33.50 kB06-11-06 17:40
Chapter13SimpStraddle.xls22.00 kB06-11-06 17:40
Chapter13STO.xls29.50 kB17-01-07 19:11
Chapter13Vega.xls31.00 kB06-11-06 17:40
Chapter13Vega13.xls50.00 kB06-11-06 17:40
Chapter13Vega3.xls38.50 kB06-11-06 17:40
Chapter13ZBStraddle.xls130.00 kB06-11-06 17:40
Chapter2Exercises.xls61.00 kB14-12-06 17:38
Chapter2Figures.xls52.00 kB06-11-06 17:40
Chapter2Gauss.xls39.50 kB06-11-06 17:40
Chapter2Newton.xls47.00 kB06-11-06 17:40
Chapter2Weights.xls23.50 kB06-11-06 17:40
Chapter3Binomial.xls40.00 kB06-11-06 17:40
Chapter3CompareBinTri.xls101.50 kB06-11-06 17:40
Chapter3CompareEuroBS.xls30.50 kB06-11-06 17:40
Chapter3DKBinomial.xls51.50 kB06-11-06 17:40
Chapter3DKCTrinomial.xls56.50 kB06-11-06 17:40
Chapter3EdgeworthBin.xls43.50 kB06-11-06 17:40
Chapter3Exercises.xls85.00 kB06-11-06 17:40
Chapter3ExtrapFlexBin.xls29.00 kB06-11-06 17:40
Chapter3FlexibleBin.xls37.50 kB06-11-06 17:40
Chapter3LRBinomial.xls40.00 kB06-11-06 17:40
Chapter3Trinomial.xls36.50 kB06-11-06 17:40
Chapter3TrinomialAMM.xls52.00 kB06-11-06 17:40
Chapter4BlackScholes.xls22.50 kB06-11-06 17:40
Chapter4BlackScholesDiv.xls28.00 kB06-11-06 17:40
Chapter4CompareGCBS.xls41.00 kB06-11-06 17:40
Chapter4CompareGCEW.xls51.50 kB06-11-06 17:40
Chapter4Exercises.xls99.00 kB18-12-06 21:11
Chapter4GramCharlier.xls30.50 kB06-11-06 17:40
Chapter4IV.xls32.50 kB06-11-06 17:40
Chapter4PBS.xls41.50 kB06-11-06 17:40
Chapter5BSCorrelation.xls59.50 kB06-11-06 17:40
Chapter5BSVariance.xls76.50 kB06-11-06 17:40
Chapter5Exercises.xls83.00 kB06-11-06 17:40
Chapter5Heston.xls55.00 kB06-11-06 17:40
Chapter5HestonMC.xls23.50 kB06-11-06 17:40
Chapter5HTrans.xls49.50 kB06-11-06 17:40
Chapter5Integral.xls305.00 kB06-11-06 17:40
Chapter5Simulate.xls36.00 kB06-11-06 17:40
Chapter6Exercises.xls202.00 kB06-11-06 17:40
Chapter6GARCH.xls428.00 kB06-11-06 17:40
Chapter6HN.xls45.50 kB06-11-06 17:40
Chapter6Integral.xls141.00 kB06-11-06 17:40
Chapter7BSGreeks.xls35.50 kB06-11-06 17:40
Chapter7BSGreeksSim.xls30.00 kB06-11-06 17:40
Chapter7Exercises.xls108.00 kB06-11-06 17:40
Chapter7Figures.xls34.00 kB06-11-06 17:40
Chapter7GCGreeks.xls50.50 kB06-11-06 17:40
Chapter7GCGreekSim.xls42.00 kB06-11-06 17:40
Chapter7GreeksComp.xls189.50 kB06-11-06 17:40
Chapter7HestonGreeks.xls120.50 kB06-11-06 17:40
Chapter7HestonGreekSim.xls94.50 kB06-11-06 17:40
Chapter7HNGreeks.xls98.00 kB06-11-06 17:40
Chapter7HNGreeksSim.xls85.00 kB06-11-06 17:40
Chaper8BarrierComp.xls123.00 kB06-11-06 17:40
Chapter8AmerDICall.xls49.50 kB06-11-06 17:40
Chapter8AmerUIPut.xls49.00 kB06-11-06 17:40
Chapter8Asian.xls38.00 kB06-11-06 17:40
Chapter8AssetorNothing.xls40.00 kB06-11-06 17:40
Chapter8BarrierAMM.xls65.50 kB06-11-06 17:40
Chapter8BarrierBin.xls50.00 kB06-11-06 17:40
Chapter8BarrierDown.xls48.50 kB06-11-06 17:40
Chapter8BarrierUp.xls53.00 kB06-11-06 17:40
Chapter8CashorNothing.xls40.50 kB06-11-06 17:40
Chapter8Exercises.xls70.50 kB06-11-06 17:40
Chapter8FBBarrierC.xls39.00 kB06-11-06 17:40
Chapter8LoobackFloat.xls28.00 kB17-01-07 19:01
Chapter9Exercise1.xls151.00 kB06-11-06 17:40
Chapter9Exercise2.xls59.50 kB06-11-06 17:40
Chapter9Exercise3.xls73.50 kB06-11-06 17:40
Chapter9Exercise4.xls73.50 kB06-11-06 17:40
Chapter9Exercise5.xls93.00 kB06-11-06 17:40
Chapter9Google.xls20.00 kB06-11-06 17:40
Chapter9GramCharlier.xls43.50 kB06-11-06 17:40
Chapter9HNGARCH.xls148.00 kB06-11-06 17:40
Chapter9Moments.xls28.50 kB06-11-06 17:40
Chapter9PBS_InSample.xls98.50 kB06-11-06 17:40
Chapter9PBS_IVRMSE.xls88.00 kB06-11-06 17:40
Chapter9PBS_OutSample.xls111.00 kB06-11-06 17:40
Chapter9PBS_PERRMSE.xls86.00 kB06-11-06 17:40
Chapter9PBS_RMSE.xls87.50 kB06-11-06 17:40
IBMOptions.xls318.50 kB06-11-06 17:40
IntelOptions.xls245.00 kB06-11-06 17:40
<Appendix>0.00 B11-03-13 13:31
Chapter1.00 B0% 11-03-13
Chapter10.00 B0% 11-03-13
Chapter11.00 B0% 11-03-13
Chapter12.00 B0% 11-03-13
Chapter13.00 B0% 11-03-13
Chapter2.00 B0% 11-03-13
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Chapter6.00 B0% 11-03-13
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Chapter8.00 B0% 11-03-13
Chapter9.00 B0% 11-03-13
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<OptionPricingModel>0.00 B11-03-13 13:32
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Comments

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somistone
2016-03-22

感谢分享,最近正好在研究期权方面的定价、希腊字母计算等问题,很有帮助!!

barnix2017
2017-02-08

It' great VBA code

taorui
2017-02-26

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hui259
2017-03-18

不错的资源,学习一下,网站要10元1积分而且一次至少100元10积分,需要这个代码的朋友可以看我我用户名联系一下,直接发网址,低价代下载。

pastirco
2017-09-05

Wish I had points to give..

pastirco
2017-09-05

Wish I had points to give..

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Option pricing models and volatility using excel-vba (2.69 MB)

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