Binomial Option Pricing Calculator User Guide

Quick Start Guide

If you have just downloaded the Binomial Option Pricing Calculator (BOPC), here is what you need to know to start using it. Use the Right Version From the BOPC download page you can download two different Excel files. Both work exactly the same, but they are for different versions of [more…]

Underlying Price Tree

The page explains the UndTree sheet of the Binomial Option Pricing Calculator, where you can view the underlying price tree generated by the binomial model. Underlying Price Tree Structure The UndTree sheet contains the underlying price binomial tree with a given number of steps (which you can set in cell [more…]

Option Price Tree

The page explains the OptTree sheet of the Binomial Option Pricing Calculator, where you can view the option price binomial tree. Option Price Tree Structure The option price tree structure matches the underlying price tree structure in the UndTree sheet (see detailed explanation). The tree itself is in column E [more…]

Option Greeks

This page explains how to work with option Greeks in the Binomial Option Pricing Calculator. Where to Find the Greeks The Greeks are at the top of the Main sheet in the green cells F4-J4, next to the calculated option price. Delta (cell F4) measures sensitivity of option price to [more…]

Working with the Chart

The Binomial Option Pricing Calculator does not just calculate option prices and Greeks, but it also allows modeling and charting the effects of different factors (like time to expiration, volatility or interest rate) on options. This page explains how. Chart Modes There are two chart modes, which you can switch [more…]

Scenario Analysis

Preferences

This page explains all settings in the Perefences sheet of the Binomial Option Pricing Calculator. Time and Theta Settings This section allows you to customize time computations and the units and sign of theta. DaysPerYear (number, default 365) = Number of days per year, which is used for converting between [more…]