Reviews for Options Pricing Models and Volatility Using Excel-VBA + CD-ROM

The average rating for Options Pricing Models and Volatility Using Excel-VBA + CD-ROM based on 2 reviews is 4 stars.

Review # 1 was written on 2019-11-08 00:00:00 Patrick Feely If you need a book on more advanced options theory, this will give you both the theory and the ability to execute with code. There is no other good reference out there for a programmer/quant into options. I keep this by my side.

Review # 2 was written on 2014-09-04 00:00:00 Kathleen A Srofe The book does a competent (although not outstanding) job covering option pricing models as well as volatility models like GARCH and the Heston Volatility Model. However, the code examples are incredibly sloppy. As just one example, look at the second function on page 16. It declares four variables that are never used in the function, while other variables are used without declaration. The use of arrays does not conform to accepted VBA practice. While none of these is an actual error, it illustrates the severe sloppiness of the code. In other places (some of which have been pointed out by other reviewers), it does result in errors. I found myself rewriting almost all the code. It is, however, to the book's credit that between the text and the code illustrations, it is possible to figure out what to do if you're a VB programmer.