Sie verwenden einen alten und fehlerhaften Browser. Bitte wechseln Sie umgehend auf einen aktuellen Browser: This Case Study shows how to speed up a VBA function in Excel.

This VBA function is pricing an American Put Option using Longstaff-Schwartz algorithm which incorporates Monte Carlo Simulation and regression. Here, you can create a macro by using Visual Basic for Applications VBA.

Option Pricing using Monte Carlo Simulation - Pricing Exotic & Vanilla Options in Excel - Introduction - Finance Training Course

After saving, you are ready to price this VBA American Put Option. Now, you are invited to click on the train button and speed-up your function.

Example 1 – European Option Pricing with Monte Carlo Simulation | Excel VBA Explained

See Quick Start for further details. After training, we can get the result as below:. Monte-Carlo Pricing of an American Put Option in VBA can be accelerated to return results in real-time.

Time in pure Excel: Gaussian random numbers required of the Monte Carlo option pricing of the American put option.

Least-Squares Monte Carlo for American Option Pricing according to Carriere resp.

Prepare a Excel sheet with the following content: After training, we can get the result as below: This means we got a speed-up of over x for this test case! Resources Thetaris Home Thetaris Support Academy and Wiki Thetaris Blog Solutions Audit and Consulting Risk Management Structured Products Trading with Real-Time Data Products Theta Proxy XL for MS Excel Theta Proxy Risk Management Theta Proxy High Performance Computing Theta Suite Professional.

Resources Thetaris Home Thetaris Support Academy and Wiki Thetaris Blog. Solutions Audit and Consulting Risk Management Structured Products Trading with Real-Time Data. Products Theta Proxy XL for MS Excel Theta Proxy Risk Management Theta Proxy High Performance Computing Theta Suite Professional.