Please view our spreadsheets policy for more information.

Below you will find a list of various derivatives related spreadsheets grouped into categories. We have attempted to provide the simple models, as well as those which rely on simulation techniques or advanced modeling. If you are interested in contributing or getting the unprotected worksheets, please email us.

* Note that the models are not designed with optimal methods considered. Please do send us any errors and / or suggestions that you may have. Furthermore, the greeks for all options will be gradually added.

Vanilla Options || Exotic Options || FX / Interest Rate Derivatives || Credit Derivatives || Economic Derivatives || Weather Derivatives || Trading Strategies || Value-at-Risk

> Vanilla Options

Option	Model	Size(kb)	Download
European	Black-Scholes (Basic)	18
European	Black-Scholes-Merton (Continuous Dividends)	45
European	Evolution of Stock Prices w/Corresponding Option Values	223
European	Black-Scholes model extended for trading day volatility (French)	46
European	Binomial Method (Reiner-Leisen)	59
European	Binomial Method (Cox-Ross-Rubinstein)	41
European	Trinomial Method (Boyle)	42
European	Comparing Binomial & Trinomial Methods	48
European	Explicit Finite Differences	31
European	Finite Differences - Crank Nicolson	33
European	Monte Carlo Simulation	44
European	Quasi-Monte Carlo (under Moro Inversion) Adapted from/with This e-mail address is being protected from spambots. You need JavaScript enabled to view it	59
European	Jump Diffusion (Merton)	39
European	At-the-Money Forward Approximation	43
European	CEV Approach	Coming Soon	-
European	Hopscotch Method (Averaging Implicit & Explicit Finite Differences)	Coming Soon	-
European	Adaptive Mesh Method	Coming Soon	-
Valuing stock as a call option on a firm	Merton Model	36
American	Roll, Geske, Whaley (Single Dividend)	52
American	Carr, Jarrow & Myneni	Coming Soon
American	Barone-Adesi, Whaley (Quadratic Approximation)	48
American	Ju-Zhong Approximation	45
American	Binomial Method	35
American	Trinomial Method	43
American	Explicit Finite Differences Method	49
American	Finite Differences - Crank Nicolson	33
American	Bjerksund, Stensland Approximation	41
American Put	Geske & Johnson Approximation	Coming Soon
American	Hopscotch Method (Averaging Implicit & Explicit Finite Differences)	Coming Soon	-
American	Adaptive Mesh Method	Coming Soon	-
American	Compared Methods	Coming Soon	-
Implied Volatility	From Call/Put Prices (Newton-Rhapson Algorithm)	50
Implied Volatility	Corrado & Miller Approximation	48
Implied Volatility	Brenner & Subrahmanyam At-the-Money Approximation	46

> Exotic Options

Option	Model	Size(kb)	Download
Altiplano (Range)	Monte Carlo Simulation	Coming Soon	-
Asian	Approximations: Turnbull-Wakeman, Levy, (Curran still in progress)	49
Asian	Monte Carlo Simulation (Incomplete-missing put option)	63
Asian	Geometric Closed Form (Kemna & Vorst)	32
Asian American (Hawaiian)	Monte Carlo Simulation	coming soon	-
Asian Barrier	Monte Carlo Simulation	coming soon	-
Asian Spread on 2 Assets	3-D Binomial Method	coming soon	-
Binary / Digital	Cash or Nothing / Asset or Nothing	30
Binary / Digital	Two-Asset Cash or Nothing	40
Single Barrier Striking a barrier either starts the option or ends it	Monte Carlo Simulation (Continuous Sampling)	69
Single Barrier	Monte Carlo Simulation (with Continuity Correction)	67
Barrier	Binomial Method	Coming Soon	-
Barrier	Trinomial Method	Coming Soon	-
Barrier	Two Asset	Coming Soon	-
Balloon Option	Closed Form	45
C-Brick Option	Form of Binary	39
Chooser Ability to choose what you want at expiry	Simple & Complex Choosers	57
Cliquet Option	Backwards Binomial (Shparber & Resheff)	60
Compound An Option on an Option	Closed Form	66
Digital Barriers	Asset Types	49
Digital Barriers	Cash Types	50
Double Barrier	Monte Carlo Simulation	Coming Soon	-
Double Barrier Options	Ikeda & Kunitomo	44
Double Barrier Options	under Heston's Stochastic Volatility (Faulhaber)	43
Double Digital Barrier Options	under Heston's Stochastic Volatility (Faulhaber)	41
Everest (Range)	Monte Carlo Simulation	Coming Soon	-
Exchange Exchange it for something at a certain date	European Closed Form	30
Exchange	European 3-D Binomial	43
Exchange	American Approximation (Bjerksund, Stensland)	30
Extendible	Writer Extendible	52
Extendible	Holder Extendible (Longstaff)	77
Extreme Spread	Bermin Model	32
Forward Start Option which starts in the future	Closed Form	33
Gap	Closed Form	31
Look Barrier	Look-Barrier Calls (Bermin)	54
Lookback	Floating-Strike	32
Lookback	Fixed-Strike	33
Mirror Options	(Manzano)	39
One Touch Digital / Binary		Coming Soon	-
Options on Futures	Black Model	17
Parisian Barrier		Coming Soon	-
Partial Time Start Barrier	One Asset Call Options	45
Partial Time Floating Strike Lookback	(Heynen & Kat)	44
Partial Time Fixed Strike Lookback	(Heynen & Kat)	43
Rainbow	Two Asset Min-Max	49
Rainbow	Two Asset Plus Cash	41
Rainbow	European Two Asset (3-D Binomial)	41
Rainbow	American Two Asset (3-D Binomial)	42
Rainbow	Three Asset	Coming Soon	-
Rainbow Barrier	Two Asset Barrier	56
Range / Time Switch	Discrete Time (Pechtl)	42
Reset Options	European Strike Reset	44
Reverse Extreme Spread	(Bermin)	35
Reverse Barrier	(Wystup, Schmock, Shreve)	48
Reverse Double Barrier		Coming Soon	-
Soft / Fluffy Barrier Also known as Step Options		Coming Soon	-
Spread	European Two Asset (3-D Binomial)	41
Spread	American Two Asset (3-D Binomial)	41
Spread	European Two Asset (3-D Trinomial)	Coming Soon	-
Spread (on Futures)	Two Asset Approximation (Kirk)	41
Spread	Two Asset (Quasi Monte Carlo)	Coming Soon	-
Spread	Three Asset (Quasi Monte Carlo)	38
Supershares	Closed Form	27

> IR / FX / Currency Derivatives

Option	Model	Size(kb)	Download
Caplets & Floorlets	Black	46
European Currency	Garman-Kohlhagen	137
European Swaptions	Black-76	29
Equity Linked Forex	Reiner	140
Foreign Equity - Domestic Strike	Reiner	140
Interest Rate Barrier Options	Barone-Adesi, Sorwar	Coming Soon	-
Quanto	Fixed ER - Foreign Equity	139

> Fixed Income / Bond Derivatives

Option	Model	Size(kb)	Download
Bond	Schaefer & Schwartz	27
Bond	Black-76	26
Bond	Binomial - Rendleman & Bartter	29
Convertible Bond	Binomial - Derman (Goldman-Sachs)	Coming Soon	-
Options on T-Bond Futures	Black	45
Options on LIBOR	Black	39

Credit Derivatives

Option	Model	Size(kb)	Download
CDS Spread	Credit Grades (TM)	70

> Economic Derivatives

> Weather Derivatives

Trading Strategies

Option	Model	Size(kb)	Download
Currency Hedging with Futures	Hedge existing currency position	18
Optimal Delta Hedging	European	Coming Soon	-
Trading Strategies	Graphs, Details, Definitions	Coming Soon	-

Value at Risk

Option	Model	Size(kb)	Download
Value at Risk	Delta-Gamma Approach (1 asset)	34
Value at Risk	Variance - Covariance Approach (1 asset)	28
Value at Risk	Variance - Covariance Approach (2 asset)	29
Value at Risk	Bond Daily VaR (1 Issue)	28