# Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.

## Equity

Articles relating to equity related products that may be built in Excel using Deriscope

## Combining Randomized Quasi Monte Carlo (Sobol) and Parallel Processing (Multithreading) when Pricing Derivatives in Excel

The beauty of Monte Carlo simulation is that it can be used to price any European financial derivative contract, of which the terminal payoff is expressed as a function of D terminal underlying factors by simulating the terminal values of these factors as of the contract's maturity date.It turns out, the successful execution of a Monte Carlo simula...
1781 Hits
1781 Hits

## Monte Carlo Pricing of any European Structured Product in Excel: Revisiting the Morgan Stanley Trigger Plus 2024 Note

In my previous article I showed how one can use Deriscope in Excel to calculate the price of a particular type of a structured product that pays the minimum of two equity indices observed at some specified future terminal time. As example was used the Trigger Plus note issued by Morgan Stanley on April 1, 2019, which is based on the value of t...
1862 Hits
1862 Hits

## Pricing Structured Products in Excel: The Morgan Stanley Trigger Plus 2024 Note

Various structured products can be precisely priced in Excel using Deriscope and its underlying QuantLib analytics. In this article I will focus on the Trigger Plus product issued by Morgan Stanley on April 1, 2019. It is based on the value of the worst performing of the Dow Jones Industrial Average and the Russel 2000 Index due April 4, 2024. It o...
3393 Hits
3393 Hits

## Pricing of Risk Scaling Options in Excel

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 to t...
1666 Hits
1666 Hits

## Using Quantos to gain exposure on Foreign Assets without the Currency Risk: Yes, but be careful!

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 currenc...
3873 Hits
3873 Hits

## Accessing and Manipulating Historical Data from Yahoo Finance in Excel

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.If all you want is a very quick and uncomplicated way (three mouse clicks!) to simply get live feeds in your spreadsheet, check out the 30 seconds videos bel...
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6898 Hits

## Beyond Black Scholes: American Option Price Dependence on Dividend Payment Time

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 under...
3748 Hits
3748 Hits

## Beyond Black Scholes: American Options without Dividends

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 cho...
3227 Hits
3227 Hits

## Beyond Black Scholes: European Options with Discrete Dividends

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-line...
3027 Hits
3027 Hits

## Introduction to Deriscope – Part 5: Live Feeds

Overview 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, comp...
14095 Hits
14095 Hits

## Introduction to Deriscope – Part 3: Pricing a Stock Option

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. Now I will show you how to use the most important of these functions, the Price, which calculates the fair price of the calling object. Alternatively, you may watch my YouTube Stock Option Pricing video...
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1725 Hits

## Introduction to Deriscope – Part 2: Creating a Stock Option

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 t...
2247 Hits
2247 Hits

## Beyond Black Scholes: European Options without Dividends

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 "embedd...
1683 Hits
1683 Hits