最全的期权定价VBA模板

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Option Pricing Models  
   
Plain Vanilla Options  
1 The generalized Black and Scholes option pricing formula
2 Options on a stock with cash dividens
3 The Black and Scholes model adjusted for trading day volatility
4 The jump diffusion model
5 American calls on stocks with known dividends
6 American approximations, The Barone-Adesi and Whaley model, and The Bjerksund and Stensland model
7 The Miltersen and Schwartz commodity option model
   
Exotic Options  
8 Executive stock options
9 Forward start options
10 Time switch options
11 Chooser options
12 Options on options
13 Writer extendible options
14 Two asset correlation options
15 Exchange one asset for another options
16 Exchange options on exchange options
17 Options on the maximum or the minimum of two risky assets
18 Spread option approximation
19 Floating strike lookback options
20 Fixed strike lookback options
21 Partial-time floating strike lookback options
22 Partial-time fixed strike lookback
23 Extreme spread options
24 Standard barrier options
25 Double barrier options
26 Partial-time single asset barrier options
27 Two asset barrier options
28 Partial-time two asset barrier options
29 Look-barrier options
30 Soft-barrier options
31 Gap options
32 Cash-or-nothing options
33 Two asset cash-or-nothing options
34 Asset-or-nothing options
35 Supershare options
36 Binary barrier options
37 Geometric average rate options
38 Arithmetic average rate options: The Turnbull and Wakeman approximation
39 Arithmetic average rate options: Levy's approximation
40 Foreign equity options struck in domestic currency
41 Fixed exchange rate foreign equity options
42 Equity linked foreign exchange options
43 Takeover foreign exchange options
Interest Rate Options
44 Swaptions
45 The Vasicek model


所有期权都包含变量输入界面，定价过程用VBA代码书写，按ALT+F11即可查看，程序不设置任何密码。

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关键词：期权定价 VBA correlation Generalized arithmetic 模板 VBA 定价 期权

谢谢，努力学习中

谢谢了哈哈

太贵了，便宜点行吗？

你要多少钱

买了，怎么打不开？请问楼主是怎么回事？

不可能  其他人都没有说打不开 只有你说打不开  你用excel2003试试看

I can't open it either. I use excel 2003.  I have downloaded it three times and I found the file is about 10k....
I hope that LZ could check the orginal file... It has cost me a lot...

各位同学，该文件在我本上的EXCEL2003上打开没有任何问题。对于有诉求怀疑该文件有效性问题，我所能做的就是重新上传该文件。如果还有疑问，那只有请管理员来核实了。

为了证明文件的真实性，这里摘录文件中的一部分VBA代码

：'// The cumulative bivariate normal distribution function
Public Function CBND(a As Double, b As Double, rho As Double) As Double

    Dim X As Variant, y As Variant
    Dim rho1 As Double, rho2 As Double, delta As Double
    Dim a1 As Double, b1 As Double, Sum As Double
    Dim I As Integer, j As Integer
   
    X = Array(0.24840615, 0.39233107, 0.21141819, 0.03324666, 0.00082485334)
    y = Array(0.10024215, 0.48281397, 1.0609498, 1.7797294, 2.6697604)
    a1 = a / Sqr(2 * (1 - rho ^ 2))
    b1 = b / Sqr(2 * (1 - rho ^ 2))
   
    If a <= 0 And b <= 0 And rho <= 0 Then
        Sum = 0
        For I = 1 To 5
            For j = 1 To 5
                Sum = Sum + X(I) * X(j) * Exp(a1 * (2 * y(I) - a1) _
                + b1 * (2 * y(j) - b1) + 2 * rho * (y(I) - a1) * (y(j) - b1))
            Next
        Next
        CBND = Sqr(1 - rho ^ 2) / Pi * Sum
    ElseIf a <= 0 And b >= 0 And rho >= 0 Then
        CBND = CND(a) - CBND(a, -b, -rho)
    ElseIf a >= 0 And b <= 0 And rho >= 0 Then
        CBND = CND(b) - CBND(-a, b, -rho)
    ElseIf a >= 0 And b >= 0 And rho <= 0 Then
        CBND = CND(a) + CND(b) - 1 + CBND(-a, -b, rho)
    ElseIf a * b * rho > 0 Then
        rho1 = (rho * a - b) * Sgn(a) / Sqr(a ^ 2 - 2 * rho * a * b + b ^ 2)
        rho2 = (rho * b - a) * Sgn(b) / Sqr(a ^ 2 - 2 * rho * a * b + b ^ 2)
        delta = (1 - Sgn(a) * Sgn(b)) / 4
        CBND = CBND(a, 0, rho1) + CBND(b, 0, rho2) - delta
    End If
End Function