Implied Volatility Calculator

The Black-Scholes model can be used to estimate implied volatility. Implied Volatility can be estimated using  spot price, strike price, asset price, risk-free rate, time to maturity, and dividend yield. To achieve this, given an actual option value, you have to iterate to find the volatility solution. There are various techniques available; however we will use […]

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Exponential Moving Average in Excel

* Update – Trade and Investing models that were earlier written using Yahoo! Finance Stock API have been rewritten to pull quotes from Bloomberg Markets API. At this time only US stocks and ETF quotes can be retrieved from this model spreadsheet. See setup instructions. A primer on Exponential Moving Average The moving average method is […]

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Find Implied Dividend Yield from Option Prices

Dividend estimates are, not only of interest to equity investors who want to earn a steady income, but they also play an important role in derivative pricing for equity forwards, futures, and options including dividend futures and options. This post shows how to calculate the implied dividend of an option. The implied dividend yield is the […]

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Calculate MACD in Excel

* Update – Trade and investing models that were designed earlier using Yahoo! Finance API have been rewritten to retrieve quotes from Bloomberg Markets. At this time only US stocks and ETFs can be retrieved from the MACD model. See setup instructions. Moving Average Convergence Divergence (MACD) MACD is a popular trend-following momentum indicator. The […]

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Simple Revenue Model Simulation

Build a Revenue Model through Simulation Revenue prediction and forecasts are typically done to be too right. They create a false sense of precision that ultimately falls short and does a disservice to managers who need accurate forecasts for planning. Even meteorologists equipped with voluminous historical data and supercomputers cannot get it right all the […]

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Risk Adjusted Investment Performance Measures

Your portfolio can have a positive long term impact when the risk efficiency of your portfolio is maximized. Many investors tend to be risk averse. So, if you are going to assume some risk in your portfolio as a trade off for a higher return, you should aim to get the most out for your […]

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Simulating Call Option Variance Reduction

A common shortcoming of standard Monte Carlo Simulation is the required computing resources and time. MC simulation typically has an error variance of σ2/n.To achieve a desired accuracy in a crude MC simulation, the sampling is conducted with a larger value of n. But this approach decreases the efficiency of the simulation. In this post, I will explore few […]

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Binomial Option Pricing Excel

A Primer on Binomial Option Pricing A binomial tree represents the different possible paths a stock price can follow over time.To define a binomial tree model, a basic period length is established, such as a month. If the price of a stock is known at the beginning of a period, the price at the beginning […]

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All spreadsheets now pulling quotes from Bloomberg API

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