European and American Options Excel Pricer and Options Sensitivities (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).