European and American Options Pricer and Greeks

  • This model is first dedicated to analyse the Options sensitivities to any change in input data  ;
  • European Options are priced using a Black and Scholes model, American Options are priced using a Bjerksund-Stensland approximation ;
  • Greeks are derived from the Black model and only are applicable to European options (American Options sensitivities remain very similar).
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Option Valuation.xlsm.zip
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