2、插入模块(点击VBA编辑器菜单：插入 ->模块)：
3、将以下代码复制/粘贴到代码窗口中：
Function CallOpt(stock, exercise, maturity, rate, volatility) As Double
D1 = (Log(stock / exercise) + (rate + (volatility ^ 2) / 2) * maturity) / (volatility * Sqr(maturity))
D2 = D1 - volatility * Sqr(maturity)
CallOpt = stock * Application.NormSDist(D1) - exercise * Exp(-rate * maturity) * Application.NormSDist(D2)
End Function
Function PutOpt(stock, exercise, maturity, rate, volatility) As Double
D1 = (Log(stock / exercise) + (rate + (volatility ^ 2) / 2) * maturity) / (volatility * Sqr(maturity))
D2 = D1 - volatility * Sqr(maturity)
PutOpt = exercise * Exp(-rate * maturity) * Application.NormSDist(-D2) - stock * Application.NormSDist(-D1)
End Function
粘贴完成后如下图：
3、关闭“Visual Basic 编辑器”窗口，回到工作表。此时若查看函数列表，可看到在“用户定义”类别中增加了两个函数，CallOpt和PutOpt：
=CallOpt(stock,exercise,maturity,rate,volatility) 用于计算认购权证的理论价格；
=PutOpt(stock,exercise,maturity,rate,volatility) 用于计算认沽权证的理论价格。
两个函数都是需要5个变量，依次为：
stock－正股现价；
exercise－权证行权价；
maturity－权证剩余期限(折算成年，在Excel中=(到期日-当前日)/365)；
rate－无风险利率(一般取国债的年收益率)；
volatility－波动率(一般取正股最近3个月的历史波动率)；
现在只需要在单元格中输入函数名并依顺序输入各变量，就可轻而易举的算出权证理论价格了。若还有不明白的，请将下表复制/粘贴到工作表“A1”单元格中试试看。
最后将该Excel文件保存起来。记住，以后每次打开该文件，都会出现以下的安全警告，记得一定要点选“启用宏”，否则自定义函数将不能使用。
FMStable这个包里有或者
Function ImpliedCallVolatility(UnderlyingPrice, ExercisePrice, Time, Interest, Target, Dividend)
High = 5
Low = 0
Do While (High - Low) >0.0001
If CallOption(UnderlyingPrice, ExercisePrice, Time, Interest, (High + Low) / 2, Dividend) >Target Then
High = (High + Low) / 2
Else: Low = (High + Low) / 2
End If
Loop
ImpliedCallVolatility = (High + Low) / 2
End Function
Function ImpliedPutVolatility(UnderlyingPrice, ExercisePrice, Time, Interest, Target, Dividend)
High = 5
Low = 0
Do While (High - Low) >0.0001
If PutOption(UnderlyingPrice, ExercisePrice, Time, Interest, (High + Low) / 2, Dividend) >Target Then
High = (High + Low) / 2
Else: Low = (High + Low) / 2
End If
Loop
ImpliedPutVolatility = (High + Low) / 2
End Function
