This is a simple file that provides some option pricing formulas as vba functions.
On page one you will find a pricing formula that also calculates option greeks
On page two you will find formulas that calculates implied volatility by newton/rhapson and bisection.
On page three there is a formula that calculates portfolio variance
Tag Archives: newton
Option pricing
Posted by Serhat Yucel, FRM on July 16, 2011
No comments




