Estimating European and American Option Pricing Models: Excel and SAS Language Approach

Jow-Ran Chang, John Lee and Cheng Few Lee

Chapter 97 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 3225-3253 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The main purpose of this chapter is to show how Excel and SAS language can be used to estimate European options and American options. In this chapter, we use bivariate normal distribution to derive American options with one dividend payment. Both Excel program and SAS program are presented in the appendices.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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