excel vba 期权BS模型和二叉树模型

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excel vba 期权BS模型和二叉树模型

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关键词：EXCEL xcel exce 二叉树 cel

要是能把金融建模内容发上来就好了。还有VBA的代码。附BS模型VBA一份：
Function BSOptionPrice(S, K, T, R, Div, Vol, Call_Put)
    d1 = (Application.Ln(S / K) + (R - Div + Vol ^ 2 / 2) * T) / (Vol * T ^ 0.5)
    d2 = d1 - Vol * T ^ 0.5
   
    If Call_Put = "CALL" Then
    x = 1
    ElseIf Call_Put = "PUT" Then
    x = -1
    Else
    BSOptionPrice = "ERROR"
    Exit Function
    End If
   
    Nd1 = Application.NormSDist(x * d1)
    Nd2 = Application.NormSDist(x * d2)
    BSOptionPrice = (S * Exp(-Div * T) * Nd1 - K * Exp(-R * T) * Nd2) * x
   
End Function


Function OptionDelta(S, K, T, R, Div, Vol, Call_Put)
    temp = S * 1E-05
    OptionDelta = (BSOptionPrice(S + temp / 2, K, T, R, Div, Vol, Call_Put) - BSOptionPrice(S - temp / 2, K, T, R, Div, Vol, Call_Put)) / temp
End Function


Function OptionGamma(S, K, T, R, Div, Vol, Call_Put)
    temp = S * 1E-05
    OptionGamma = (OptionDelta(S + temp / 2, K, T, R, Div, Vol, Call_Put) - OptionDelta(S - temp / 2, K, T, R, Div, Vol, Call_Put)) / temp
End Function

Function OptionTheta(S, K, T, R, Div, Vol, Call_Put)
    temp = T * 1E-05
    OptionTheta = (BSOptionPrice(S, K, T + temp / 2, R, Div, Vol, Call_Put) - BSOptionPrice(S, K, T - temp / 2, R, Div, Vol, Call_Put)) / temp
End Function

Function OptionVega(S, K, T, R, Div, Vol, Call_Put)
    temp = Vol * 1E-05
    OptionVega = (BSOptionPrice(S, K, T, R, Div, Vol + temp / 2, Call_Put) - BSOptionPrice(S, K, T, R, Div, Vol - temp / 2, Call_Put)) / temp
End Function

Function OptionRho(S, K, T, R, Div, Vol, Call_Put)
    temp = R * 1E-05
    OptionRho = (BSOptionPrice(S, K, T, R + temp / 2, Div, Vol, Call_Put) - BSOptionPrice(S, K, T, R - temp / 2, Div, Vol, Call_Put)) / temp
End Function