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Excel Add-ins : Equity : Vanilla

 

 

Sheet Vanilla_Option_Pricing

 

 

 

 

 

The sheet value a vanilla option (call or put) on equity, the greeks  and the impact on the price and the greeks of an evolution of the spot price and the volatility.

 

The exercise can be European, American , Bermudan (Monthly, Quaterly, Semi-annualy).

 

You can choose to price the option with :

 

  • Black Scholes only for European
  • Integral only for European
  • Monte Carlo Method (Crude) only for European
  • Monte Carlo Method (Sobol) only for European
  • Barone-Adesi and Whaley only for American
  • Bjerksund and Stensland only for American
  • Finite differences
  • Binomial Jarrow-Rudd
  • Binomial Cox-Ross-Rubinstein
  • Additive equiprobabilities
  • Binomial Trigeorgis
  • Binomial Tian
  • Binomial Leisen-Reimer

The Spot price, the Strike Price , the dividend , the risk free rate and the volatility must be entered under the Caption Option Date as it is showed in the image. Except the dividend and the risk free rate, they all must be strictly positive. If not a message will invite you to change the value.

 

 

There are three dates to be chosen just by selecting the day, the month and the year under the caption Dates as it is shown in the picture :  

 

 

 

 

Today’s date and the settlement Date must be before the maturity Date, if not a message will invite you to change the dates.

 

You can select the option type : call or put and the exercise type : European, American or Bermudan under the Caption Option Type and Exercise Type.

 

 

You can choose the computation method between:

 

  • Black Scholes only for European
  • Integral only for European
  • Monte Carlo Method (Crude) only for European
  • Monte Carlo Method (Sobol) only for European
  • Barone-Adesi and Whaley only for American
  • Bjerksund and Stensland only for American
  • Finite differences
  • Binomial Jarrow-Rudd
  • Binomial Cox-Ross-Rubinstein
  • Additive equiprobabilities
  • Binomial Trigeorgis
  • Binomial Tian
  • Binomial Leisen-Reimer

   

By selecting the right one under the caption  Computation.

 

 

 

If  you choose to price an exercise type which does not fit with the computation method a message will invite you to change the method or the exercise type.

 

Finally  you can select the impact of the volatility and the spot price and then click on the button compute.

 

 

 

 

 

The greeks will appear under the option price as the impact. On the right the graphics of the impacts will be drawn.

   

 

   

  NB : The computation of the impacts with Monte Carlo Methods and with Bermudan exercise may take a few minutes.

 

 

 

The sheet Portfolio_Pricing

 

 

 

This sheet allows you to manage a portfolio of stocks, vanilla options on stocks. All the feature available in the first sheet ( all the exercise type and all the computation methods) are available.

 

You must entered Today’s Date in the right place :

 

 

You can choose to be short (seller) or long (buyer) by putting a negative or a positive number in the column Position. For instance by putting x your are going to buy x products.

 

 

 

Then by putting c for a call, p for a put or u for the underlying ( a stock) in the column type, you will choose the type of product.

 

Then the same data as explained in the sheet Vanilla_Option_Pricing must be entered  :

 

 

 

For the exercise type enter in the column exercise:

  • e : European
  • a : American
  • bm : Bermudan Monthly
  • bq : Bermudan Quarterly
  • bs : Bermudan Semi-annually

 

 

 

For the computation method enter  the right number in the column computation

  • 1 : Black Scholes only for European
  • 2 : Integral only for European
  • 3 : Monte Carlo Method (Crude) only for European
  • 4 : Monte Carlo Method (Sobol) only for European
  • 5 : Barone-Adesi and Whaley only for American
  • 6 :Bjerksund and Stensland only for American
  • 7 : Finite Differences
  • 8 : Binomial Jarrow-Rudd
  • 9 : Binomial Cox-Roxx-Rubinstein
  • 10 : Additive equiprobabilities
  • 11:Binomial Triorgis
  • 12 : Binomial Tian
  • 13 : Binomial Leisen-Reimer 

 

 

Then click on the button compute and the price, the greeks of each line and the portfolio will be computed.

 

 

As explained for the sheet Vanilla_Option_Pricing, a wrong data will make appear a message which will invite you to correct the error.

 

 
 

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