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. 
© Andrey Bogomolov, 2003-2005, 2008.                  
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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.
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:          
Historical Development of the Newton–Raphson Method. SIAM Rev. Volume 37, Issue 4, pp. 531-551 (December 1995)