Description
Book SynopsisThis comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book.
Praise for Option Pricing Models & Volatility Using Excel-VBA Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.
Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University
This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look i
Table of Contents
Preface ix
Chapter 1 Mathematical Preliminaries 1
Chapter 2 Numerical Integration 39
Chapter 3 Tree-Based Methods 70
Chapter 4 The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
Chapter 5 The Heston (1993) Stochastic Volatility Model 136
Chapter 6 The Heston and Nandi (2000) GARCH Model 163
Chapter 7 The Greeks 187
Chapter 8 Exotic Options 230
Chapter 9 Parameter Estimation 275
Chapter 10 Implied Volatility 304
Chapter 11 Model-Free Implied Volatility 322
Chapter 12 Model-Free Higher Moments 350
Chapter 13 Volatility Returns 374
Appendix a A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419
