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