European and American Options Pricer and Greeks
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).
Compressed Archive in ZIP Format
Scroll to top