Option Pricing Models and Volatility Using Excel-VBA

by Fabrice Douglas Rouah, Gregory Vainberg

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers."
― Peter Christoffersen , Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library."
― Espen Gaarder Haug , option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH."
― Steven L. Heston , Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

464 pages, Paperback

First published March 22, 2007

Reviews

[Michael Corley · Rating 5 out of 5]

If you need a book on more advanced options theory, this will give you both the theory and the ability to execute with code. There is no other good reference out there for a programmer/quant into options. I keep this by my side.

[Alberto · Rating 3 out of 5]

The book does a competent (although not outstanding) job covering option pricing models as well as volatility models like GARCH and the Heston Volatility Model. However, the code examples are incredibly sloppy. As just one example, look at the second function on page 16. It declares four variables that are never used in the function, while other variables are used without declaration. The use of arrays does not conform to accepted VBA practice. While none of these is an actual error, it illustrates the severe sloppiness of the code. In other places (some of which have been pointed out by other reviewers), it does result in errors. I found myself rewriting almost all the code. It is, however, to the book's credit that between the text and the code illustrations, it is possible to figure out what to do if you're a VB programmer.