Mathematical Finance: Spreadsheets

In the following you find some spreadsheet which are related to my teaching of Mathematical Finance.

Note: More material on Mathematical Finance can be found on www.finmath.net.

Monte-Carlo Simulation of Black-Scholes Model and European Option Pricing

The follwing spreadsheets implement a Monte-Carlo Simulation of a Black-Scholes Model and the valuation of Europen Options.

The sheets use common spreadsheet cell functions and do not use any additional code (like VBA). All steps of the simulation are transparent from the cell functions.

Monte Carlo Simulation with Option Pricing.xlsx (Excel)
Monte Carlo Simulation with Option Pricing.ods (OpenOffice/LibreOffice)

For a Monte-Carlo valuation using Java see www.finmath.net/spreadsheets.