The Numa
DERIVATIVES SPREADSHEET LIBRARY
This page has some simple options pricing spreadsheets created by Numa, that can be downloaded to local disks.
Notes:
- to download any spreadsheet, just click on "download"
- each download file is in .ZIP format
- all the spreadsheets are in Lotus 123 (.WK1) format - therefore it should be possible to import them into nearly every type of modern spreadsheet program
- the spreadsheets have also been kept as simple as possible - so they should be widely portable
- these spreadsheets have been placed in the public domain, and are free to use as you wish; but note that they are intended for educational purposes, and should not be considered state-of-the-art programs
Black-Scholes Option Model
- the basic model for valuing European call and put options
- includes calculation of theoretical value for calls and puts,
- plus: delta, gamma, vega, theta, rho
- option to input interest rate as a continuously compounded rate
Download [approx size - 4k]
Black-Scholes Option Model - dividend adjusted
- as above, but also
- adjusts model for dividends (assuming a continuous dividend yield)
Download [approx size - 4k]
Warrants
- all basic calculations for warrant analysis
- includes: premium, gearing, CFP, leverage, break-even rate, time-value, intrinsic value, parity ratio, Giguerre
Download [approx size - 3k]
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