C. Conover

Jan 15, 2025 | scholarship.richmond.edu | Tom Arnold |C. Conover |Joseph Farizo |Nancy K. Tran

KEY TAKEAWAYS:Combining Excel’s =LAMBDA and =MAKEARRAY functions allows for the creation of user-defined functions for producing large binomial trees in less than a second. Further applications of the user-defined functions allow for very quick valuations of European and American style options with large binomial trees. Applying similar techniques allows for the calculation of value-at-risk (VaR) measures.