## Description

This Excel spreadsheet contains Visual Basic (VBA) functions that calculate digital(binary) option price and risk (Greeks), namely:

Delta, Gamma, Vega, Theta

Black-Scholes Option Pricing Framework

Underlying Returns Distributions Assumptions: Log-Normal

Exercise Types: European

Product Types: Puts, Calls

Payoff Types: Digital (Binary)

The functions are exposed and usable within the spreadsheet cells.

A sample sheet is provided to demonstrate how the functions are used.

Option Greeks are multiplied by appropriate shifts

- Vega: 1%-Shift in volatility. This can be user-adjusted.
- Theta: 1-minute time-decay. This can be user-adjusted.

Please contact us

if you have requests to customize the spreadsheet, or request for a demonstration/walk-through via skype.

Requirements: Microsoft Excel 2013/2010/2007

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