Options (VBA)

Wed, 20 May 2026 04:38:00 +0100

Abstract

A classic on implementing option models is

Les Clewlow and Chris Strickland: Implementing Derivatives Models (ISBN 0471966517)

Unfortunately this book suffers from quite a few typos, and the 8 pages list of errata from November 23, 2000 does not seem to be publicly available anymore.

Some error corrections of the first edition:

Page	Row	Correction
xvi	9, column 3	0v should be C
12	15	Si,j = Su^jd^(n-j)
24	2 from top in figure 2.12	set coefficients
70	4 from bottom in figure 3.13	for j =Nj-2 downto -Nj+1 do
70	Insert before last row of figure 3.13	C[1,-Nj] = C[1,-Nj + 1] - lambda_L
75	4 from bottom in figure 3.16	for j =Nj-2 downto -Nj+1 do
75	Insert before last row of figure 3.16	C[1,-Nj] = C[1,-Nj + 1] - lambda_L
85	2 from bottom in figure 4.2	SD = sqrt( (-sum_CT2 + sum_CT * sum_CT / M ) ) * exp(-2rT) / (M - 1)
89	2 from bottom in figure 4.5	SD = sqrt( (-sum_CT2 + sum_CT * sum_CT / M ) ) * exp(-2rT) / (M - 1)
99	Delete row 9 from top	lnS = ln(S) = 4.6052 <- delete this row
113	13 from top in figure 4.19	Insert before for j loop V1 = sig1sig1; V2 = sig2sig2
113	18 from top in figure 4.19	Insert before for i loop Vt1 = V1; Vt2 = V2
118	Last row	a = m/N * ln(Gt) …
120	11 from bottom in figure 4.24	G = productSt ^(1/N)

I started to implement some of the algorithms with Excel VBA.

Clewlow on Sulprobil

Options (VBA)

Abstract