Option Pricing Formula

  • Thread starter Thread starter Guest
  • Start date Start date
Hello

Well, I guess the normal strategy to follow there in the newsgroups, is that
you browse the internet for the correct formula.

If you're having trouble implementing it in an Excel sheet, then we 'd be
happy to help you out if we can.
 
I have a Black Sholes Option Pricing Model. You can google for this.

You can try this on for size.

Black-Scholes in Visual Basic
By Espen Gaarder Haug
Visual Basic: easy to program but quite slow!


'// The Black and Scholes (1973) Stock option formula:
Public Function BlackScholes(CallPutFlag As String, S As Double, X _
As Double, T As Double, r As Double, v As Double) As Double

Dim d1 As Double, d2 As Double

d1 = (Log(S / X) + (r + v ^ 2 / 2) * T) / (v * Sqr(T))
d2 = d1 - v * Sqr(T)
If CallPutFlag = "c" Then
BlackScholes = S * CND(d1) - X * Exp(-r * T) * CND(d2)
ElseIf CallPutFlag = "p" Then
BlackScholes = X * Exp(-r * T) * CND(-d2) - S * CND(-d1)
End If
End Function

'// The cumulative normal distribution function
Public Function CND(X As Double) As Double

Dim L As Double, K As Double
Const a1 = 0.31938153: Const a2 = -0.356563782: Const a3 = 1.781477937:
Const a4 = -1.821255978: Const a5 = 1.330274429

L = Abs(X)
K = 1 / (1 + 0.2316419 * L)
CND = 1 - 1 / Sqr(2 * Application.Pi()) * Exp(-L ^ 2 / 2) * (a1 * K + a2 * K
^ 2 + a3 * K ^ 3 + a4 * K ^ 4 + a5 * K ^ 5)

If X < 0 Then
CND = 1 - CND
End If
End Function
 
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