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Spreadsheet to calculate the fair value and greeks for call and put options.
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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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Free / Download (54.0 KB)
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| Download |
Avg. User Rating |
Overall |
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1%
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| 27 / 3 (total / last month) |
| 30-06-2007 06:58:48 GMT |
| 25-07-2005 |
| English |
| Win 3.1x, Win95, Win98, WinME, WinXP, WinNT 3.x, WinNT 4.x, Windows2000, Windows2003, Mac OS X |
| Microsoft Excel |
| No Install Support |
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