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VBA programming and Excel function

VBA programming and Excel function Homework 3

Project 1:

Write a program that will test a self-financed delta hedge strategy on an European Style option based on a simulated stock path. Assume the stock price follow Geometric Brownian Motion.

Your program should allow user to change all parameters regarding the underlying stock/option and rebalance frequency (i.e., how many times you rebalance before maturity, assume equal intervals), as well as the trade direction (buy or sell) and the option type (call or put).

Output should include the stock path, the stock position at each rebalance point, the cash balance at each period and the final P&L.

How to Create Custom Excel Functions

Project 2:

Write a program for option pricing that allow user input for all the parameters of the underlying stock. In addition, the program should allow user to choose: 1) Option Type: Put or Call, 2) Option Style: European or American and 3)Pricing method: Black Scholes Formula (for European Style Only), Monte Carlo Simulation (for European Style Only), and Binomial Tree. Print out both your results and your simulation paths (for Monte Carlo and Binomial Tree) Hint: Write Black Scholes formula, Monte Carlo Simulation and Binomial Tree separately. Then use a main program to call each sub based on user’s choice of pricing method.

VBA programming and Excel function

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Last Updated on July 23, 2020

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