Option Pricing Tool –Excel VBA

Only the name is enough…

Embarking on implementing an option pricing tool in excel, I was bombarded with tons of information from all over the world of mathematics. And actually figuring out the methodology as a developer for developing an option pricing tool in excel was a challenge for myself in this post.

This tool incorporates techniques ranging from Brownian/Weiner process, multiple distributions, ito’s lemma and more..

This is an all in one wrapper for the above mentioned topics you would come across for the same. But experiencing from the task I realized though the topic sounds exciting, it isn’t actually much as after few code lines you tend to realise its all mathematics and there’s not much except the design and layout where you developer instincts come to play.

But any ways I always wanted this post in my arsenal of blog. And here we go a complete set of option pricing tool, with option sensitivities and volatility computations with option variables behaviour illustrated in a dynamic surface graph…

Option Value:


Option Delta:


Option DVegaDVol:


Option DgammaDvol:




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