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EXCEL VBA OPEN SOURCE CODE

Introduction About Our Product

This program is part
of the 37 programs
Demonstrati... in the Excel VBA
Models combo
package. For more
More Preview product information,
please click the
[More Preview]
Order Info button. The source
code of this trial
version is protected.

Copyright C Excel Business Solutions. All Rights Reserved.

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hts Reserved.
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Introduction
Option Greeks measure the sensitivity of the option from its parameters. In this section,
Demonstra... we will explore each of the Greeks and we will begin with Delta.

Delta measures rate of change of the option's value with respect to the stock pricing; it is
More Preview the first differential of option price with respect to the price of the underlying asset. Delta
also changes gradually over time even if there is no price movement of the underlying
Order Info asset. The change in delta for a given change in the asset price is known as Gamma.
Gamma is the second derivative of the option value with respect to the price of the
underlying asset. Variation in Delta require that a hedged position be rebalanced if it is to
remain delta neutral after the price of the underlying asset has changed. How much
adjustment needed depends on how much the Delta changes, that is, on Gamma.

Copyright C Theta refers to the rate of time decay for an option. It is the first differential of the option
Anthony Sun. value with respect to time. Holding all other things constant, an option loses value as it
All Rights Reserved.
approaching to the expiration day. Theta measures the cost of holding an option long, and
the reward fo writing it.

Vega measures the relationship between the volatility of the underlying asset and the
Introduction option value. It is the first differential of the option price with respect to the volatility
(standard deviation). The more volatility the underlying asset is, the more valuable the
An introduction on
the Excel VBA option becomes since the chance for the option to be deep-in-the-money is greater.
model plus
explaination on the Rho measures the sensitivity of the option value to the interest rate. It is the derivative of
key points on how the option value with respect to the interest rate. The higher the interest rate, the greater
the VBA code is the time value of the option. Hence, Rho is positive for calls and negative for puts. For
applied. both calls and puts, the longer the time to expiration, the larger is the effect of the interest
rate on the option value.

(The Mathematical formulas only available in the full version.)

The input and output are shown as followed. Note that the sign for each of the Greeks
indicates the direction that the option price will go when the corresponding parameter
changes.
modeling.com

s. In this section,

stock pricing; it is
ing asset. Delta
he underlying
wn as Gamma.
price of the
balanced if it is to
How much
n Gamma.

tial of the option

oses value as it
an option long, and

asset and the

he volatility
re valuable the
y is greater.

s the derivative of
rate, the greater
ve for puts. For
ect of the interest

of the Greeks
ng parameter
 www.excel-modeling.com

Introduction

Demonstra...

More Preview
Option Greeks Based on Black-Scholes Option Pricing Model
Order Info

Input
Stock Price $ 100.00
Strike Price $ 95.00 Enter your
Copyright C
Anthony Sun. Time 0.25 parameters here
All Rights Reserved. Risk Free Rate 0.06
SD 0.15

Demonstration Output Output

This page is where Europe Call #VALUE! Europe Put #VALUE!
you can run the
Delta #VALUE! Delta #VALUE!
Greeks For Put

Greeks For Put

program or use the
customized Gamma #VALUE! Gamma #VALUE!
functions. Vega #VALUE! Vega #VALUE!
Theta #VALUE! Theta #VALUE!
Rho #VALUE! Rho #VALUE!
modeling.com

cing Model
 www.excel-modeling.com

Introduction XL Modeling has been in the Internet community since 1997. During the past several years, we
have developed many Excel VBA models in the academic fields and have helped many students
and professionals in learning Excel VBA modeling in finance and statistic through our open
Demonstra... source code tutorials.

More Preview As of today, XL Modeling continues to strive to provide the best and most affordable learning
tools in advanced Excel VBA Modeling.

Order Info We provide several learning packages with Excel VBA programs that are ready to run. The
source code of these Excel files is unprotected for learning purposes. They can be purchased at
a very affordable price.

Category: Finance and Statistics Models (Set 1)

Copyright C
Anthony Sun. Project Name
All Rights Reserved. Standard Deviation and Mean
Lotto Number Generator
Playing Card Probability
Monte Carlo Integration
More Preview Normal Distribution Random Number Generator
Provides preview Black-Scholes Option Pricing Model - European Call and Put
of 30+ more Binomial Option Pricing Model
examples and the
links to the Portfolio Optimization
examples on the Multiple Regression
web. Bootstrap - A Non-Parametric Approach
Multivariate Standard Normal Probability Distribution
Monte Carlo Simulation
Option Greeks Based on Black-Scholes Option Pricing Model

Category: Random Numbers Generator and Statistics (Set 2)

Project Name
Random Number Generator - Chi-Square Distribution
Random Number Generator - F-Distribution
Random Number Generator - Student-T Distribution
Random Number Generator - Normal Distribution
Random Number Generator - Log Normal Distribution
Random Number Generator - Log Pearson Type III Distribution
Random Number Generator - Multivariate Standard Normal Distribution
Random Number Generator - Gamma Distribution
Random Number Generator - Beta Distribution
Random Number Generator - Hypergeometric Distribution
Random Number Generator - Triangular Distribution
Random Number Generator - Binomial Distribution

Category: Numerical Searching Methods and Option Pricing (Set 3)

Project Name
Numerical Searching Method - Newton-Ralphson
Numerical Searching Method - Secant Method
Implied Standard Deviation For Black/Scholes Call - Newton Approach
Implied Standard Deviation For Black/Scholes Call - Secant Approach
Implied Standard Deviation For Black/Scholes Call - Bisection Approach
Implied Standard Deviation For Black/Scholes Put - Newton Approach
Implied Standard Deviation For Black/Scholes Put - Secant Approach
Implied Standard Deviation For Black/Scholes Put - Bisection Approach
Black-Scholes Option Pricing Model - European Call and Put
Option Greeks Based on Black-Scholes Option Pricing Model
European Option Model on Asset with Known Cash Payouts
European Option Model on Asset with Continuous Cash Payouts (Index Option)
European Option Model on Currency
European Option Model on Futures
modeling.com

he past several years, we

ve helped many students
ic through our open

ost affordable learning

e ready to run. The

They can be purchased at

Web
Link
Link
Link
Link
Link
Link
Link
Link
Link
Link
Link
Link
Link

Web
Link
Link
Link
Link
Link
Link
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Link

Web
Link
Link
Link
Link
Link
No
No
No
Link
Link
Link
Link
Link
Link
 www.excel-modeling.com

Introduction
37 Excel VBA prorgrams in finance and statistics (Package Set 1, 2, and 3
Demonstra... with open source codes for only $29.95*. (Each individual package set is $14

More Preview
A saving of over 30%!
Order Info
Each of the 37 programs is self contained and ready to run.
Users can learn from the open source codes.

To order, click the following link and follow the 3 steps as demonstrated on th
Copyright C
Anthony Sun.
All Rights Reserved. http://www.excel-modeling.com/index_002.htm

Order Info

3-Step Simple Order Process

Provides order
information and
shows how easy it
is to use the 3
easy-step process
to order and
download.

1 Click the Buy Now button next to the package you wish
to purchase.

You will be taken to the Paypal Order page

2 If you have a Paypal account:

provide your email address and password
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to download the product.

* Price is subjected to change without any notice.

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(Package Set 1, 2, and 3)

dual package set is $14.95*)

and ready to run.

rce codes.

as demonstrated on this page.

ex_002.htm

rocess

package you wish

nsaction, you will
he download link