Includes articles relating to pricing financial options in Excel through Deriscope

Subcategories from this category:

Beyond Black Scholes

Asian Option Pricing in Excel using QuantLib: Monte Carlo, Finite Differences, Analytic models for Arithmetic and Geometric Average. Example with live EUR/USD rate

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Asian options come in different flavors as described below, but to the extent they have European exercise rights they can be priced by QuantLib using primarily Monte Carlo , but under certain circumstances using also Finite Differences or even analytic formulas. The main feature of an Asian option is that it involves the average of the realized pri...
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Swaption Pricing in Excel: 14 Free QuantLib Models plus Implied Volatility Surface and Cube

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Most people are unaware of the fact that free and open source QuantLib comes with a great variety of modelling approaches when it comes to pricing an interest rate European swaption in Excel that surpasses what is offered by expensive commercial products. In fact, 14 different modelling approaches are implemented, whereby the Black approach does no...
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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 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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