Black American BAW + C# CODE

The American feature is estimated by the Black-Adesi, Whaley approximation. The traditional Black model in C# which creates the excel add-in. The model provides the bid / ask spread and shows the Greeks (Delta, Gamma, Vega, Theta, probability in the money, strike dependence and varies second derivatives like Volga and Vanna). The Excel add-in is incorporated directly for quick use with a data and testing spreadsheet. The model uses a continuous zero coupon Yield Curve, a continuous dividend yield, a constant volatility to maturity but maturity volatility dependence / volatility surface & actual dividend payments (please see later models) The add-in also includes a set of C# files ready for compilation, allowing users to quickly and easily create their own models.