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Apr 5

Black Scholes on excel

Posted by abiao at 11:49 | Code » VBA/Excel | Comments(0) | Reads(20772)
Excel Add In (Visual Basic) for Black Scholes, Numerical Integration and Probability Density Estimation

    This is a MS Excel Add In (with Visual Basic Source Code) for several separated issues:

    1. Numerical Integration

    2. Golden Section Search for Max/Min

    3. Probability Density Estimation Using Kernels

    4. Black Scholes Option Valuation, Implied Volatility and Option Greeks
    Many of these functions can also be used in standalone Visual Basic applications.

    Read Installation and Use Instructions. Download Excel Add-In and Visual Basic source code as a zip file or as tar.gz file at http://www.iimahd.ernet.in/~jrvarma/software.php

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