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Coin-Or: An Open-Source Library for Optimization Read chapter Read first chapter

2002 | OriginalPaper | Chapter

Option Pricing with Excel

Authors : Peter Honoré, Rolf Poulsen

Published in: Programming Languages and Systems in Computational Economics and Finance

Publisher: Springer US

Included in: Professional Book Archive

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We use spreadsheets to illustrate the concepts and techniques of arbitrage-free option pricing. We show how to implement both discrete (binomial) models and continuous (Black-Scholes) models, discuss similarities and differences in the required computational methods, and investigate issues of a practical nature, such as parameter estimation/uncertainty and effects of less-than-perfect hedging.

previous chapter MATLAB as a Flexible Tool for Data Analysis and Optimisation
next chapter Numerical Solution of Boundary Value Problems in Computational Finance
Metadata
Title
Option Pricing with Excel
Authors
Peter Honoré
Rolf Poulsen
Copyright Year
2002
Publisher
Springer US
Book
Programming Languages and Systems in Computational Economics and Finance

Print ISBN: 978-1-4613-5369-0

Electronic ISBN: 978-1-4615-1049-9

Copyright Year: 2002

DOI
https://doi.org/10.1007/978-1-4615-1049-9_13

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