Free option pricing spreadsheet. Uses Black and Scholes to calculate the theoretical price and option greek derivatives of call and put options. Includes a strategy simulation worksheet, which enables a user to enter up to 10 option legs that will be used as a single option combination. This combination will then be graphed to show the expected profit and loss at the expiration date as well as the combined option greeks for the strategy. The Black and Scholes code that is used for this spreadsheet is fully disclosed and available for editing using the Visual Basic editor.
1/10/06. Added support for Dividend Yield.
28/08/06. Fixed a small calculation bug for the Option Theta, which now has a near perfect accuracy.
27/04/06. Fixed a bug that failed to calculate the theoretical change in P&L for stocks in the strategies tab.
Tags: Option Pricing
, Option Trading
, Option Pricing Spreadsheet
, Black And Scholes
Released:July 25, 2005
Platforms:Windows, Macintosh, Windows 3.x, Windows 95, Windows 98, Windows Me, Windows NT, Windows 2000, Windows XP, Windows 2003, Mac OS X
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