Option pricing spreadsheet that calculates the theoretical price and all of the Option Greeks for European Call and Put options. The spreadsheet also allows the user to enter up to 10 option legs for option strategy combination pricing.
Dec 26, 2011 12:07:55
Windows 95, Windows 98, Windows ME, Windows NT, Windows 2000, Windows XP, Windows 2003, Mac OS
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Description: Free option pricing spreadsheet. Uses Black and Scholes to calculate the theoretical price and option greek derivatives of call and put options. Includes a strategy simulation worksheet, which enables a user to enter up to 10 option legs that will be used as a single option combination. This combination will then be graphed to show the expected profit and loss at the expiration date as well as the combined option greeks for the strategy. The Black and Scholes code that is used for this spreadsheet is fully disclosed and available for editing using the Visual Basic editor.
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