Abstract

http://ssrn.com/abstract=541744
 
 

References (11)



 
 

Citations (2)



 


 



Implied Binomial Trees in Excel without VBA


Tom Arnold


University of Richmond - E. Claiborne Robins School of Business

Timothy Falcon Crack


University of Otago - Department of Finance and Quantitative Analysis

Adam Schwartz


Washington and Lee University - Department of Business Administration

May 14, 2004


Abstract:     
We show how to implement a Rubinstein (1994) implied binomial tree using an Excel spreadsheet, but without having to use visual basic in Excel (VBA). We demonstrate both the optimization needed to generate implied ending risk-neutral probabilities from a set of actual option prices and the backwards recursion needed to solve for the entire implied tree. By using only standard Excel functions, and not resorting to VBA, we make this option pricing technique immediately accessible to both practitioners and academics. With minimal preparation, this technique can also be introduced to the undergraduate classroom.

Number of Pages in PDF File: 21

Keywords: Option Pricing, Implied Binomial Tree, Excel

JEL Classification: G12, G13, C61

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Date posted: May 8, 2004  

Suggested Citation

Arnold, Tom and Crack, Timothy Falcon and Schwartz, Adam, Implied Binomial Trees in Excel without VBA (May 14, 2004). Available at SSRN: http://ssrn.com/abstract=541744 or http://dx.doi.org/10.2139/ssrn.541744

Contact Information

Thomas M. Arnold
University of Richmond - E. Claiborne Robins School of Business ( email )
1 Gateway Drive
Richmond, VA 23173
United States
804-287-6399 (Phone)
804-289-8878 (Fax)
Timothy Falcon Crack (Contact Author)
University of Otago - Department of Finance and Quantitative Analysis ( email )
Dunedin
New Zealand
Adam Schwartz
Washington and Lee University - Department of Business Administration ( email )
Lexington, VA 24450
United States
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