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NAG Library for Option Pricing in Excel by Pramurtta Shourjya Majumdar is a document available to read on EtoBox.

What is NAG Library for Option Pricing in Excel about?

This document discusses using algorithms from the NAG Library to calculate prices for financial options in Excel spreadsheets. It provides an introduction to options and option pricing models, then describes the Greeks which measure the sensitivity of option prices to changes in parameters. It presents the Black-Scholes option pricing model, which has closed-form expressions for the price and Greeks. The NAG Library can be used to calculate results for this and other models from within Excel. Two examples a

Author

Pramurtta Shourjya Majumdar

Language

EN