Anybody on here have a good add-in or function for option pricing? Requirements: *Must use discrete Divs *Must Calculate Greeks I haven’t been able to find a free one online that uses discrete divs and I don’t want to buy an add-in before I can use the features I want…
I’ve always played around with the one on the CBOE site. The old one they had was better but I’m not sure if it’s what you want. It calculates greeks.
can you download it and throw it in excel?
i think a binomial model would work. but you would have to program the binomial with hard ex dates, value the call/put for each segment (segment = time of exdate to time just before next ex-date), and discount back each value to t=0. to get the greeks I would just use the orginal model and change each greek input to see how the option changes value… probably a good VBA code would do it fairly quickly but do not know of one out there.