Derivatives portfolio modeler XL is a powerful option strategy simulator on stock, ETF, indices, commodities option strategies using what-if scenarios. Does not depend on data source. Requires Microsoft Excel 2003 or OpenOffice 2.0+. Employs Black-Scholes model, well documented code with scientific references, may be extended for any other financial stochastic models. Does not require external libraries, small package (~100Kb). Best suited for educational and small investor purposes.

Download Link:

https://sourceforge.net/project/showfiles.php?group_id=167429&package_id=190396&release_id=632686

SourceForge Project Page:

https://sourceforge.net/projects/dpmxl/

References:

Double precision univariate cumulative normal distribution function VB algorithm is based on:

Hart, J. (1968), Computer Approximations, Wiley. Algorithm 5666 for the error function.

Weisstein, Eric W. "Normal Distribution." From MathWorld--A Wolfram Web Resource. http://mathworld.wolfram.com/NormalDistribution.html

Feller, W. An Introduction to Probability Theory and Its Applications, Vol. 1, 3rd ed. New York: Wiley, 1968.

Feller, W. An Introduction to Probability Theory and Its Applications, Vol. 2, 3rd ed. New York: Wiley, p. 45, 1971.

Papoulis, A. Probability, Random Variables, and Stochastic Processes, 2nd ed. New York: McGraw-Hill, pp. 100-101, 1984.

Patel, J. K. and Read, C. B. Handbook of the Normal Distribution. New York: Dekker, 1982.

Spiegel, M. R. Theory and Problems of Probability and Statistics. New York: McGraw-Hill, pp. 109-111, 1992.

Black-Scholes option pricing algorithm is based on:

Black, F., Scholes, M. The pricing of options and corporate liabilities. // Journal of Political Economy. 1973. V. 81. P. 637-659.

Hull, J., Options, Futures, and Other Derivatives. 6th Edition. Prentice-Hall. 2008.

Implied Volatility from option price calculation algorithm is based on Newton–Raphson Method:

http://numericalmethods.eng.usf.edu/mws/gen/03nle/mws_gen_nle_txt_newton.pdf

Historical Development of the Newton–Raphson Method. SIAM Rev. Volume 37, Issue 4, pp. 531-551 (December 1995)

http://dx.doi.org/10.1137/1037125