PRICING OF STRUCTURED PRODUCTS USING VISUAL BASIC IN EXCEL
PRICING OF STRUCTURED PRODUCTS USING VISUAL BASIC IN EXCEL
Author(s): Peter Mokrička, Miroslava Šikulová
Subject(s): Business Economy / Management, Accounting - Business Administration, ICT Information and Communications Technologies
Published by: Masarykova univerzita nakladatelství
Keywords: Structured products; guarantee certificates; options; pricing; Visual Basic; Black-Scholes Model;
Summary/Abstract: This paper deals with usage of Visual Basic in Excel in pricing of structured products. The pricing is implied on the example of guarantee certificates which can be constructed from a bond and an option, so it is shown how to price these components, and then also a guarantee certificate in Excel using Black-Scholes Model.
Book: New Economic Challenges: 2nd International PhD Students Conference. 20. 1. – 21. 1. 2010
- Page Range: 92-95
- Page Count: 4
- Publication Year: 2010
- Language: English
- Content File-PDF