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OPTIONS PRICING MODEL

A

anup47

Member
I've got a black scholes option pricing model in Excel which tells the value of all the Greeks related to the options pricing. If someone knows about options pricing must be knowing about delta, vega, theta gamma etc. This sheet tells me about them. If you just Google it , you'll find lots of this black scholes option pricing model excel spreadsheets.


My problem is I could not find a single spreadsheet which gives the value of other Greeks, such as volga, vanna, speed etc, can anyone help me get that Excel spreadsheet. Someone having good knowledge of vba and options pricing can only do it.


Regards


Anup
 
Hi All ,


For those who find the above all Greek and Latin , please refer to :


1. http://en.wikipedia.org/wiki/Greeks_(finance)


2. http://en.wikipedia.org/wiki/Black%E2%80%93Scholes


I like Anup's last sentence. My own opinion is that you need doctorates in programming and mathematics.


Narayan
 
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