Options
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 in included in the On-Line help.
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:
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Description
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Name
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Download
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C/C++
Add-In
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Options.
xll
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Download
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On-Line
Documentation
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Options.hlp
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On-Line
html Documentation
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Options.chm
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Download
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Excel®
Spreadsheet
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Options.xls
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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:
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Description
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Name
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Download
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C/C++
Add-In
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Barrier.
xll
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Download
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On-Line
Documentation
ONLY I.E. Browsers
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Barriers.hlp
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On-Line
html Documentation
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Barriers
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Download
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Excel®
Spreadsheet
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Barriers.xls
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