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Norm_S_Dist(d2, True)īSPut = Exercise * Exp(-Rate * Time) *. Norm_S_Dist(d1, True) - Exercise * Exp(-Rate * Time) *.
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If VBA.TypeName(OptType) "Boolean" Then GoTo ErrHandlerĭ1 = (.Ln(Stock / Exercise) + (Rate + (Sigma ^ 2) / 2) * Time) / (Sigma * Sqr(Time))ĭ2 = (.Ln(Stock / Exercise) + (Rate - (Sigma ^ 2) / 2) * Time) / (Sigma * Sqr(Time))īSCall = Stock *. ' Check that Variant has sub type Boolean If IsMissing(OptType) Then OptType = True ' OptType TRUE (default) for Call, FALSE for Put
BLACK LITTERMAN MODEL EXCEL WITHOUT VBA CODE
The Excel NORM.S.DIST function, line 6 in code 1 and 2, requires that the dot operators be replaced by underscores when the function is called from VBA.Ĭode 4: Function BSOption combines the BSCall procedure and the BSPut procedure and adds an Optional argument OptType In this example, separate function procedures are developed for the call (code 1) and put (code 2) equations. FALSE returns the probability mass function.įig 1: Excel Web App #1: - Excel version of Black and Scholes' model for a European type option on a non dividend paying stock TRUE returns the cumulative distribution function. z is the probability value, and cumulative is a LOGICAL value. The call price from equation 1 is $4.08 (Figure 1 row 18), and the put price from equation 2 is $1.09 (Figure 1 row 19). The probabilities for \(N(\cdot)\) are estimated with the NORM.S.DIST function. The value for d1 and d2 are shown in rows 12 and 13 of figure 1. You can activate JavaScript in your browser settings.Īccording to the Black-Scholes (1973) model, the theoretical price \(C\) for European call option on a non dividend paying stock is $$\begin \right]\) 3. This means that equations, VBA code, and other items will not show the correct format. Your browser does not support JavaScript! Black-Scholes option pricing in Excel and VBA 1.