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Tools

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Analytics

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Risk-Engine

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Technology

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Data

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Pricing Analytics
		Parabolic.xll	:	Parabolic Finite Differening Option Pricing Project with C/C++ code
		Options.xll	:	Standard Option pricing formulas. From Black-Scholes-Merton to basic exotics.
		Barriers.xll	:	Barrier Options: Barrier Black, Double Barriers w/ Rebates.
		Warrants.xll	:	5 Standard Warrant Pricing Schemes. Closed End & Finite Difference.

Option Pricing Add-In

Real-time options Add-In.

Most of these routines are still sold today at a hefty premium. They should be free or at least original authors should be getting royalties, but that's another story. Most of these routines have been around for the past 20 years now. Source code is included.

Normal, Bi-variate, Error density functions, Black-Scholes-Merton, Black76, Merton Jump-Diffusion, Geske, Margrabe, Barone-Adessi-Whaley, Cox-Ross-Rubenstein, etc.

View Source

Download Options Zip File

Zip file includes: Options.xll (Add-In), spreadsheet, on-line help and source.

View on-line help 

Download Individual Components:

Barriers Add-In

Real-time barrier Add-In.

this library contains single and double barrier pricing routines, including in and out rebates for double barriers. This library implements industry standard pricing schemes: black barrier decomposition, Kunitomo Ikeda, digital and lookback adapted algorithms for rebate pricing.

View Help

Download Barrier Zip File

Zip file includes: Barriers.xll (Add-In). On-line help and spreadsheet. The spreadsheet Demonstrates In / Out Arbitrage conditions against plain vanilla options.

Download Individual Components: