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Aug 27

Option Pricing Models and Volatility Using Excel-VBA

Posted by abiao at 09:53 | Code » VBA/Excel | Comments(2) | Reads(23404)
VBA week...
Option Pricing Models and Volatility Using Excel-VBAOption Pricing Models and Volatility Using Excel-VBA is the best book I have read this year, recommended by a friend of mine couple of days ago. I didn't look positive at it at the beginning as there are dozes of books on similar topics and to be honest, I never heard of the author (now I know he works in industry). However, the more pages I dig, the less willing to stop & happier I feel as the author explains the volatility staff relevant to option pricing SOOOOO well and in plain language. More importantly, there are accompanying VBA codes for almost every example, if that's no enough, the author provides VBA solutions to the exercise as well, which encourage the readers to practice & make our hands dirty, unlike many other books do.

The book starts with complex number, how to write macro code for it; followed by selected root-finding algorithms, and weighted least square regression; then introduces numerical integration, tree-building, black scholes, Heston model, GARCH, implied volatility, parameter estimation, etc. Preview is worth a thousand words, check yourself below:

I am sure you will get excited & learn as much as I do, strongly recommend to add it to your bookshelf Option Pricing Models and Volatility Using Excel-VBA

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