Option Pricing Excel VBA Software

  • Status Closed
  • Budget N/A
  • Total Bids 7

Project Description

Produce Excel VBA Software to price European and American Options (through the Binomial Method) and Exotic Asian (through Monte-Carlo Simulation GBM).

VBA Code that receives as input:

-annual risk free rate of return

-annual volatility

-time to maturity

-initial price of stock

-strike price

-desired number of simulations for the future stock price

-whether option is put or a call

And outputs:

-the price of option via simulation or chasing back along the binary tree

-Worksheet has been attached with historical prices for the past ten years

-Computation of stock return and annual volatility of stock (through vba) returns using historical prices

-Implementation of european and american (call and put options) pricing in excel vba using binomial tree method

-implementation of exotic asian option using monte carlo method GBM

User Interface:-

-Userform for American/European Option Pricing(Binomial Model)

-Strick price to be the users choice

-All the user to choose the number of period(n) for the option

-type of options to view prices (put or call)

-combo box for option style selection (american or european)

-Userform for Asian Exotic Options (Monte Carlo Simulation)

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