I am looking for an option pricer in Excel or R package that can price a payoff that could be some formula on the underlying prices and interest rate. This means the option payoff could depend on multiple underlyings.

An example of the payoffs could be, when we have let us say, three underlyings for a American Binary Down and in option:


Here, $K$ is the strike price or the price where the binary option becomes on. $r$ is the rate of interest. It can be assumed constant if simple or can be any other interest rate process. $S_{1}, S_{2}, S_{3}$ are the prices processes for the different underlyings. They are standard geometric brownian motions. $T$ is the time to expiration of the option. $t$ is the time when the price level is breached and the option becomes on.

Please let me know if any such macro or addin is available for Excel or any package in R that can do this. If my question is not clear or if you need more details, please let me know.

Thanks in advance,

  • $\begingroup$ R is definitely better suited for quantitative finance than Excel. Here is a list of packages to get you started: cran.r-project.org/web/views/Finance.html $\endgroup$ – Math1000 Sep 2 '16 at 23:52
  • $\begingroup$ @Math1000 Thanks for your suggestion. I am specifically looking for any R routine, where you just need to code the payoff and the rest of the framework will simulate the different sources of uncertainty and provide the results. I will change the question to reflect this. $\endgroup$ – texmex Sep 3 '16 at 3:44

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.