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Apr 3

Excel for Volatility Calculation

Posted by abiao at 09:37 | Code » VBA/Excel | Comments(0) | Reads(17611)
Another excel / VBA source for volatility calculation, including option based volatility such as implied volatility of Black Scholes model, volatility surface construction, Heston parameters estimation from option prices, etc; and a list of time series volatility calculation, for example, ARCH, ARIMA, EGARCH, EWMA, GARCH, GJR...

One thing you should be aware is some of the files involve a call to NAG library, one of the major benefits of the NAG Library is its inherent flexibility, it can be used by programmers developing in traditional languages, or by users of modern software packages and programming environments, like Microsoft Excel. Both of my former company and my current university have NAG library installed, so download & read more at your choice at http://php.portals.mbs.ac.uk/SerHuangPoon/Teaching/DataandProgrammes/tabid/973/Default.aspx and http://www.nag.co.uk/numeric/nagandexcel.asp

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