Numerical methods and option pricing in VBA
This repository is an extraction of the legacy examples in option pricing in VBA. The following list covers the major functions used in the examples for numerical methods, option pricing, and Greeks calculation. See VBA Example 1 and 2 for actual implementaion.
- Black-Scholes European Option
- Black-Scholes European Asset-or-Nothing Option
- Black-Scholes European Option with Discrete Dividend
- Black-Scholes American/European Asset-or-Nothing Option with Discrete Dividend
- Black-Scholes Delta with Discrete Dividend
- Black-Scholes Gamma with Discrete Dividend
- Black-Scholes Vega
- Black-Scholes Vega with Discrete Dividend
- Black-Scholes Rho with Discrete Dividend
- Black-Scholes Theta with Discrete Dividend
- Heston Option Price Using Trapezoidal Rule with Combined Integrand
- Heston Option Price Using 10-Point Gauss. Legendre Quadrature Rule with Combined Integrand
- Heston Option Price on Dividend-Paying Stock Using 10-Point GL Quadrature with Combined Integrand
- Heston Option Price on Dividend-Paying Stock Using Trapezoidal Method with Combined Integrand
- Heston Delta with discrete dividend
- Heston Rho with discrete dividend
- Heston Gamma with discrete dividend
- Heston Vega with discrete dividend
- Heston Theta with discrete dividend
- Gram-Charlier European Option Price with Discrete Dividends
- Gram-Charlier European Option Delta with Discrete Dividends
- Gram-Charlier European Option Gamma with Discrete Dividends
- Gram-Charlier European Option Vega with Discrete Dividends
- Gram-Charlier European Option Rho with Discrete Dividends
- Gram-Charlier European Option Theta with Discrete Dividends
- CRR Binomial Tree for European Vanilla Option
- CRR binomial option pricing for European and American vanilla options
- Tian's Flexible Bianomial Tree for Barrier Option Pricing
- Flexible Binomial Option Pricing for European & American vanilla options
- Implied Volatility from BS_Vega in Black-Sholes by Bisection-and-Newton-Raphson Method
- Present Value of Future Dividends
- PDF For Standard Normal
- CDF For Standard Normal
- Calculate No. of Combination
- Calculate Pi
- Legacy implementation examples