Anthony's VBA Forum

[timodav]

Hi,

Just wondring how you could extend the option calculator you have to incorporate american options as well? Its just involve adding the check of whether or not it should be exercised early?

I was unsure how you would do this in VBA however after giving it a go?

Any suggestions as to how you could extend the european calculator in options model section to do this?

Thanks

Frederic

[Anthony]

You can use B/S option pricing model to approximate American options, but you would need to refer to textbox or financial journal to do this.