Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
Articles relating to equity related products that may be built in Excel using Deriscope

Pricing of Risk Scaling Options in Excel

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You are all familiar with simple European call options  that are securities promising to pay their holders at some agreed future time T the difference S(T) – K between the price S(T) realized by a monitored underlying S at time T and a fixed amount K , under the condition that S(T) is greater than K . The last long sentence may be compressed t...
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Using Quantos to gain exposure on Foreign Assets without the Currency Risk: Yes, but be careful!

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A common usage of quanto call options is to benefit from the price appreciation of a foreign asset and on the same time stay immune on exchange rate variations. A European style quanto call option on a foreign asset S with strike K is always cash settled and pays its holder on expiry time T the amount max{S(T) – K, 0} converted into domestic curren...
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Accessing and Manipulating Historical Data from Yahoo Finance in Excel

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Yahoo Finance displays historical data for stock prices, indices, bond yields, fx rates, commodity prices etc on their website and allow anyone to download a text file with these data for free. Deriscope automates this process through a special spreadsheet formula called dsLive that takes as input the handle name of an object containing the specs o...
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Beyond Black Scholes: American Option Price Dependence on Dividend Payment Time

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With this article I want to show you how to create and price American options on an underlying that pays dividends – such as American stock options expiring after the ex-dividend date - in Excel using the open source QuantLib analytics library. In my previous article I showed you how to calculate the fair price of an American option on an unde...
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Beyond Black Scholes: American Options without Dividends

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With this article I want to show you how to create and price American options on a non-dividend-paying underlying – such as American stock options - in Excel using the open source QuantLib analytics library. America has been traditionally touted as the "land of choice" and American Options honor their name by granting their holders an additional ch...
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Beyond Black Scholes: European Options with Discrete Dividends

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With this article I want to show you how to create and price European options on an underlying that pays discrete dividends – such as European stock options - in Excel using the open source QuantLib analytics library. In my previous article I presented an overview of the QuantLib models that can be used in Excel towards pricing the simplest non-lin...
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Introduction to Deriscope – Part 5: Live Feeds

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Deriscope enables you to receive in Excel live feeds from several different providers. These feeds include real time or almost real time prices of financial securities (stocks, ETFs, indices, currencies, cryptocurrencies, futures and options), bid/offer quotes and sizes, time series of historical prices and statistical indicators, company financial...
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Introduction to Deriscope – Part 3: Pricing a Stock Option

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In my previous article I showed you how to create a Stock Option object in Excel and how to access the list of functions that apply to that object. As I pointed out, the most important of these functions is the Price, which calculates the fair price of the calling object. The Price function is a so called Local function, in the sense that it is inv...
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Introduction to Deriscope – Part 2: Creating a Stock Option

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In my previous article I listed the main reasons for using Deriscope. Now I will show you how to use Deriscope to create a Stock Option object. Rather than typing the formula by hand, I will ask the wizard to create the formula for me. After I start Excel and press on the Enable and Show Wizard button inside the Deriscope ribbon tab, the Deriscope ...
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Beyond Black Scholes: European Options without Dividends

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Options are the simplest non-trivial financial derivatives around. They are part of the curriculum of every university course on Finance for a good reason: They are everywhere!  They are traded on regulated exchanges around the world, change hands over the counter between … consenting adults, enhance or "infect" all sorts of contracts as "embe...
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Using a Stock Trading Simulator in Excel

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As I promised you in my previous article I am back with a review of a Stock Trading Simulator that works in Excel and does not suffer from the mentioned drawbacks that hamper all other available free simulators. ​ Apologies for the long time gap since my earlier post, but I wanted to provide you with the very latest version of the Simulator describ...
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Should I use a Trading Simulator to learn how to trade?

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Have you ever thought of being a trader?  I mean trading things like stocks, currencies, options or anything else that you can buy and sell almost instantly - typically online - by pressing a button and not illiquid assets, such as houses or antique furniture. Wouldn't it be great to get some sense of what real world trading looks like before ...
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