Black Scholes European Using VBA

Mac Users: Excel 2011 (Mac) and Excel 2010 (Windows) are not sychronized. Replace the NORM.DIST or NORM_DIST by NO NormDist works on both systems to preserve version compatability. Recall that some versions of NORMDIST and NORMSDIS have very serious accuracy concerns. AssetPrice StrikePrice InterestRate Maturity Volatility putCallQ Scale 100 95 0.05 0.25 0.3 1 put = -1, call = 1 3 Index StockPrice OptionPrice OptionDelta OptionGamma OptionTheta Quantity Spread Strikes 1 90 Option 1 -2 100 Option 2 1 110 Option 3 butterfly -20 40.00 0.00 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00 -19 43.00 0.00 0.0000 0.0000 0.0000 0.00 0.00 0.00 0.00

T or NORM_DIST by NORMDIST RMDIST and NORMSDIST

-18 46.00 0.00 0.0000 0.0000 -0.0001 0.00 0.00 0.00 0.00

-17 49.00 0.00 0.0000 0.0000 -0.0007 0.00 0.00 0.00 0.00

-16 52.00 0.00 0.0001 0.0000 -0.0038 0.00 0.00 0.00 0.00

-15 55.00 0.00 0.0002 0.0001 -0.0159 0.00 0.00 0.00 0.00

-14 58.00 0.00 0.0009 0.0003 -0.0542 0.01 0.00 0.00 0.01

-13 61.00 0.01 0.0026 0.0009 -0.1551 0.02 0.00 0.00 0.02

-12 64.00 0.02 0.0067 0.0019 -0.3805 0.06 -0.01 0.00 0.04

-11 67.00 0.05 0.0150 0.0038 -0.8149 0.13 -0.04 0.00 0.10

-10 70.00 0.12 0.0302 0.0065 -1.5493 0.28 -0.09 0.01 0.19

-9 73.00 0.24 0.0550 0.0102 -2.6508 0.53 -0.21 0.02 0.34

butterfly
3.00
2.50 2.00 1.50 butterfly 1.00 0.50 0.00 -0.50 0.00 50.00 100.00 150.00 200.00

-8 76.00 0.46 0.0919 0.0145 -4.1317 0.94 -0.42 0.04 0.56

-7 79.00 0.81 0.1420 0.0190 -5.9285 1.55 -0.80 0.08 0.83

-6 82.00 1.32 0.2053 0.0231 -7.9044 2.39 -1.39 0.17 1.16

-5 -4 -3 -2 -1 0 1 85.00 88.00 91.00 94.00 97.00 100.00 103.00 2.05 3.01 4.23 5.70 7.43 9.40 11.57 0.2799 0.3624 0.4489 0.5350 0.6169 0.6916 0.7572 0.0264 0.0284 0.0290 0.0282 0.0262 0.0235 0.0202 -9.8743 -11.6450 -13.0556 -14.0065 -14.4710 -14.4882 -14.1449 3.48 -2.29 0.31 1.51 4.86 -3.54 0.53 1.85 6.50 -5.23 0.87 2.14 8.40 -7.38 1.35 2.37 10.53 -10.03 2.00 2.50 12.86 -13.17 2.84 2.54 15.35 -16.77 3.90 2.48

2 3 4 5 6 7 106.00 109.00 112.00 115.00 118.00 121.00 13.93 16.44 19.08