List of Excel Spreadsheets Available To Download

In this section I list all the Excel spreadsheets available to download at this website, with a short description.
In addition, I put some basic information about each spreadsheet such as: freeware or shareware; if shareware, if it has any limitation in relation to the registered version or not; VBA (Visual Basic for Application) code or not; in case of VBA code, if password protect or not; and location of the main and secondary webpages related to each spreadsheet.

All files can be directly downloaded from here, but the reader is advised to see the reference page in order to know the context where each spreadsheet is inserted, additional important informations, model strength and limitations, and so on.

The shareware files can be used for educational purposes during a 30 days period. After this, the reader is invited to register, although there is no mechanism of automatic disability after this period. I rely in the readers' honesty in many cases, but in some cases I put some minor limitations for non-registered version, in order to create an additional incentive for the software registration. In case of any spreadsheet limitation, the list below describes the kind of limitation.

OBS: French Excel users, click here for additional relevant information.

dp-chapter6-nonlinear_npv.xls

• Download: Click here to download dp-chapter6-nonlinear_npv.xls, file with 108 KB.
• Short Description: Excel spreadsheet calculating both the option to invest in a project with option to shut-down (compound option) and the NPV with option to shut-down. Based in chapter 6 from the Dixit & Pindyck's book.
  This spreadsheet illustrates also the Newton-Raphson method to solve nonlinear equations.
• Main related webpage: Linear and Nonlinear Models for the Underlying Asset V(P) and the NPV Equation - Section 2: Net Present Value with Option to Shut-Down
• Software type: Freeware for educational purposes.
• VBA code: No.
• Limitation compared with the registered version: Not applicable. No limitation.

QMC_Black_Scholes.xls or QMC_Black_Scholes.zip

• Download: Click here to download qmc_black_scholes.xls, file with 95 KB.
  or click here to download qmc_black_scholes.zip, file with 32 KB.
• Short Description: Calculate European Call Option using Monte Carlo simulation in order to compare with the very known closed-form formula of Black-Scholes-Merton. Presents three different Monte Carlo simulation: (a) Using quasi-random numbers and Moro's inversion to get the standard Normal distribution; (b) Using pseudo random numbers from Excel with the Excel's build in function for the Normal inversion; and (c) pseudo random numbers from Excel but using the superior Moro's inversion to get the standard Normal distribution.
• Main related webpage: Quasi-Monte Carlo Simulation - 1) Introduction and Motivation
• Software type: Freeware for educational purposes.
• VBA code: Yes, but is freely available (no password protection).
• Limitation compared with the registered version: Not applicable. No limitation.

random_x_quasi-random.xls or random_x_quasi-random.zip

• Download: Click here to download random_x_quasi-random.xls, file with 805 KB.
  or click here to download random_x_quasi-random.zip, file with 199 KB.
• Short Description: Excel spreadsheet with VBA functions and charts for the Halton sequences in two dimensions. It shows that quasi-random (Halton) numbers are much more evenly distributed than pseudo-random numbers (Excel function RAND()) for the dimension 1 x 2.
• Main related webpage: Quasi-Monte Carlo Simulation - 5) Halton, Faure, and Sobol Sequences
• Software type: Freeware for educational purposes.
• VBA code: Yes, but is freely available (no password protection).
• Limitation compared with the registered version: Not applicable. No limitation.

quasi-random-mult_dim.xls or quasi-random-mult_dim.zip

• Download: Click here to download quasi-random-mult_dim.xls, file with 1849 KB.
  or click here to download quasi-random-mult_dim.zip, file with 746 KB.
• Short Description: Excel spreadsheet with VBA functions and charts for the Halton sequences. The charts illustrates the problem of correlation for higher dimensions that suffers the Halton and others (non-hybrid) quasi-random sequences.
• Main related webpage: Quasi-Monte Carlo Simulation - 5) Halton, Faure, and Sobol Sequences
• Software type: Freeware for educational purposes.
• VBA code: Yes, but is freely available (no password protection).
• Limitation compared with the registered version: Not applicable. No limitation.

hyb_qr_generator.xls or hyb_qr_generator.zip

• Download: Click here to download hyb_qr_generator.xls, file with 1054 KB.
  or click here to download hyb_qr_generator.zip, file with 286 KB.
• Short Description: This Hybrid Quasi-Random Generator file generates quasi-random sample paths using the van der Corput Base 2 sequence. The first vector of numbers are non-hybrid and the remaining columns are hybrid vectors (random permutations in the basic vector). Presents 4 charts, showing the dimensions 1 x 2, 20 x 21, 49 x 50, and 25 x 50, in order to show that hybridization breaks the problem of correlation for high-dimensional cases using quasi-random numbers.
• Main related webpage: Quasi-Monte Carlo Simulation Continuation - 6) A Simple Hybrid Quasi-Monte Carlo Approach
• Software type: Freeware for educational purposes.
• VBA code: Yes, password protected. However, the equations and methodology are shown in the related webpage.
• Limitation compared with the registered version: Not applicable. No registered version available.

reversion-simulation_accuracy-vba.xls

• Download: Click here to download reversion-simulation_accuracy-vba.xls, file with 372 KB.
• Short Description: This spreadsheet simulate the mean-reversion stochastic process, "Model 1", using three different discretization methods in order to illustrate the exact discretization method presented in the webpage is the most accurate one. It calculates the simulation error for the calculus of mean and variance of this stochastic process for the three discretization methods, in order to make the comparison.
  The spreadsheet also plots the histogram chart (the theoretical is a log-normal distribution) for the simulated values of the mean-reverting commodity price at a specified time T and for the other specified parameters set by the user.
• Main related webpage: Monte Carlo Simulation of Stochastic Processes. See the item "Monte Carlo Simulation of Mean Reversion (Model 1)" and specially the "Complement: Discretization Accuracy of the Mean-Reversion Stochastic Process".
• Software type: Freeware for educational purposes.
• VBA code: Yes. Password protected. However, the equations and methodology are shown in the related webpage.
• Limitation compared with the registered version: Not applicable. Doesn't exist registered version yet.
  Forthcoming: a software pack for simulations of many stochastic processes, including histograms, percentis, etc.

simulation-reversion-jumps-marlim-real_x_rn.xls

• Download: Click here to download simulation-reversion-jumps-marlim-real_x_rn.xls, file with 235 KB.
• Short Description: Excel spreadsheet shows the real and risk-neutral sample-paths from a simulation of the mean-reversion with jumps, named Marlim model - Marlim is the Brazilian top producer oilfield, and this model was first used in a Marlim project (1998). By pressing F9, you get new sample paths in the chart presented in this spreadsheet. The user can change freely any input (input sheet is not hidden), but the sheet with the simulation calculus details is hidden and password protected. However, the equations and methodology are shown in the related webpage.
• Main related webpage: Monte Carlo Simulation of Stochastic Processes. See the item "Monte Carlo Simulation of Mean Reversion with Jumps".
• Software type: Freeware for educational purposes.
• VBA code: Yes. Password protected.
• Limitation compared with the registered version: Not applicable. Doesn't exist registered version yet.
  Forthcoming: a software pack for simulations of many stochastic processes, including histograms, percentis, etc.

duopoly_hui-kort_non-reg.xls

• Download: Click here to download duopoly_hui-kort_non-reg.xls, file with 789 KB.
• Short Description: Excel spreadsheet for the model of Symmetrical Duopoly under Uncertainty. Based in the paper of Huisman & Kort (1999), calculate preemption equilibrium, values and thresholds for the leader, follower, simultaneous option exercise, non-binding collusion, mixed strategies including the probability of "mistake", it checks all the paper propositions, and presents many charts.
• Main related webpage: Symmetrical Duopoly under Uncertainty - The Huisman & Kort Model.
• Software type: Shareware. It is a component of the Option-Games Suite.
• VBA code: No.
• Limitation compared with the registered version: There are two limitations. First, some inputs are fixed in the non-registered version (but it is possible to analyze all cases presented in the paper example). Second, one sheet with calculation details is hidden and password protected (registered version has no limitation or protection).

duopoly-ext_joaquin_buttler-non-reg.xls or duopoly-ext_joaquin_buttler-non-reg.zip

• Download: Click here to download duopoly-ext_joaquin_buttler-non-reg.xls, file with 1508 KB.
  or click here to download duopoly-ext_joaquin_buttler-non-reg.zip, file with 889 KB.
• Short Description: Excel spreadsheet for the model of Asymmetrical Duopoly under Uncertainty. Extending the model from the paper of Joaquin & Buttler (2000), calculate preemption equilibrium, values and thresholds for the leader, follower, simultaneous option exercise, mixed strategies theorem for asymmetrical duopoly, including the probability of "mistake", and presents many charts (most not presented in the original paper).
• Main related webpage: Asymmetrical Duopoly under Uncertainty - The Extended Joaquin & Buttler Model.
• Software type: Shareware. It is a component of the Option-Games Suite.
• VBA code: No.
• Limitation compared with the registered version: There are two limitations. First, some inputs are fixed in the non-registered version (but it is possible to analyze all cases presented in the paper example). Second, one sheet with calculation details is hidden and password protected (registered version has no limitation or protection).

simulation-oligopoly_equilibrium.xls

• Download: Click here to download simulation-oligopoly_equilibrium.xls, file with 291 KB.
• Short Description: Excel spreadsheet to simulate the model of Oligopoly under Uncertainty. Based in the paper of Grenadier (2000/2002). This file presents 4 charts, with sample-paths from the uncertain demand - by pressing F9 the reader can see another sample-path and its consequences in terms of option exercise, prices, etc. The four charts are: (a) Demand Sample-Path & Strategic Exercise of Options in 10-Firms Oligopoly; (b) 10-Firms Oligopoly Output and Thresholds Comparison with Monopoly and Duopoly; (c) Industry Total Output under Monopoly, Duopoly, and 10-Firms Oligopoly; and (d) Price, Demand Sample-Path & Industry in 10-Firms Oligopoly Option-Games.
• Main related webpage: Oligopoly under Uncertainty - The Grenadier Model.
• Software type: Shareware. It is a component of the Option-Games Suite.
• VBA code: Yes, but is freely available (no password protection). However, the only VBA code is the Moro's inversion to get the Standard Normal random numbers.
• Limitation compared with the registered version: The page with the inputs and calculation details is hidden and password protected. So, the input parameters are fixed (the same used in Grenadier's paper) in this non-registered version. Registered version has no limitation or protection, so that the registered user can see the calculation, change the inputs, etc. Anyway, the equations and methodology are shown in the related webpage.

timing-e-97-vba-hqr.xls or timing-e-97-vba-hqr.zip

• Download: Click here to download timing-e-97-vba-hqr.xls, file with 702 KB.
  or click here to download timing-e-97-vba-hqr.zip, file with 636 KB.
• Short Description: "Timing" is a real options spreadsheet that calculates real option value (value of the undeveloped project), threshold value for the underlying project, probability of option exercise, expected option exercise time, chart real option value x value of the underlying project, and chart threshold value curve (optimal exercise curve) until the expiration. It uses the efficient Bjerksund & Stensland analytical approximation for American options, Monte Carlo and quasi-Monte Carlo simulations for the probability of exercise and expected option exercise time.
• Main related webpage: TIMING 2.0 - American Call Program with Focus on Real Options. For the simulation, see the page on Hybrid Quasi-Monte Carlo.
• Software type: Shareware. By registering the software "Timing", automatically you register and get full functional copies of the two other versions: "Timing Version Business Model" and "Timing Version Rigid Cash Flow Model".
• VBA code: Yes, password protected. However, the references for equations and methodology are shown in the related webpage.
• Limitation compared with the registered version: No limitation in terms of software functionality: all the inputs can be freely changeable by the user. The only limitation is implicity in the shareware concept: after using 30 days, the user must register.
  Recall that registering "Timing", the user gets full functional versions from two software variants: "Timing Version Business Model" and "Timing Version Rigid Cash Flow Model".

timing-business_model-vba-hqr.xls or timing-business_model-vba-hqr.zip

• Download: Click here to download timing-business_model-vba-hqr.xls, file with 702 KB.
  or click here to download timing-business_model-vba-hqr.zip, file with 636 KB.
• Short Description: Timing Version Business Model, is a variant from the spreadsheet "Timing" applied to oilfield development using the so called "Business Model". In this model, the value of one (underground) barrel of reserve v is proportional to the oil prices P (at surface), that is, v = q*P. The proportionality factor q is named economic quality of the reserve.
  Outputs: real option value (value of the undeveloped project), threshold value for the oil price, probability of option exercise, expected option exercise time, chart real option value x oil prices, and chart oil price threshold curve until the expiration.
• Main related webpage: Linear and Nonlinear Models for the Underlying Asset V(P) and the NPV Equation. See specifically The Business Model.
• Software type: Shareware. By registering the software "Timing", automatically you register and get full functional copies of the two other versions: "Timing Version Business Model" and "Timing Version Rigid Cash Flow Model".
• VBA code: Yes, password protected. However, the equations and methodology are shown in the related webpages.
• Limitation compared with the registered version: The only limitation is that some inputs are fixed in this non-registered version. The fixed inputs are: Initial oil price; investment cost; risk-free interest rate; and dividend yield (or convenience yield). Registered users can change freely any input.

timing-rcf_model-vba-hqr.xls or timing-rcf_model-vba-hqr.zip

• Download: Click here to download timing-rcf_model-vba-hqr.xls, file with 703 KB.
  or click here to download timing-rcf_model-vba-hqr.zip, file with 637 KB.
• Short Description: Timing Version Rigid Cash Flow Model is a variant from the spreadsheet "Timing" applied to oilfield development using the so called "Rigid Cash Flow Model". In this model, the value of one (underground) barrel of reserve v is linear but not proportional to the oil prices P (at surface) due to fixed operational costs invariant with the oil prices.
  Outputs: real option value (value of the undeveloped project), threshold value for the oil price, probability of option exercise, expected option exercise time, chart real option value x oil prices, and chart oil price threshold curve until the expiration.
• Main related webpage: Linear and Nonlinear Models for the Underlying Asset V(P) and the NPV Equation. See specifically The Rigid Cash Flow Model
• Software type: Shareware. By registering the software "Timing", automatically you register and get full functional copies of the two other versions: "Timing Version Business Model" and "Timing Version Rigid Cash Flow Model".
• VBA code: Yes, password protected. However, the equations and methodology are shown in the related webpages.
• Limitation compared with the registered version: The only limitation is that some inputs are fixed in this non-registered version. The fixed inputs are: Initial oil price; investment cost; operational cost factor, risk-free interest rate; and dividend yield (or convenience yield). Registered users can change freely any input.

timing_inv_inf-hqr.xls or timing_inv_inf-hqr.zip

• Download: Click here to download timing_inv_inf-hqr.xls, file with 797 KB.
  or click here to download timing_inv_inf-hqr.zip, file with 733 KB.
• Short Description: "Timing with Dynamic Value of Information" calculates the real options value of an oilfield with both market and technical uncertainties. The software permits to evaluate the attractiveness of one investment in information, considering the cost of information, the time-to-learn, and the revelation power (capacity to reduce the uncertainty). It uses a rigorous framework based in conditional expectation distribution (named revelation distribution) to model the evolution of the technical uncertainty after the investment in information. It is based in my paper (which a chapter from my doctoral dissertation is based) Investment in Information in Petroleum: Real Options and Revelation.
• Main related webpages: Timing with Dynamic Value of Information and Technical Uncertainty, Information Revelation, and Revelation Distribution.
• Software type: Shareware.
• VBA code: Yes, password protected. However, the equations and methodology are shown in the related webpages.
• Limitation compared with the registered version: The non-registered version is limited only by the type of probability distribution for the technical parameters (only Triangular distribution) and some few parameters are fixed: initial oil price, interest rate, dividend yield, time to expiration, and variable parameter for the development cost. However, the changeable input parameters permit to reproduce all examples presented in the paper.
  The registered version permits the user change any input. In addition, the registered user has 5 different prior distributions for the technical uncertainty to choose: Triangular, Normal, Truncated Normal, LogNormal, and Uniform.

simula-hit_time.xls

• Download: Click here to download simula-hit_time.xls, file with 190 KB.
• Short Description: Excel spreadsheet simulating paths to fixed and variable absorbing barriers, probability of hitting the barrier, expected first hitting time for two fixed absorbing barriers, probability of hitting, etc.
• Main related webpage: First Hitting Time and Expected Discount Factor
• Software type: Freeware for educational purposes.
• VBA code: No.
• Limitation compared with the registered version: Not applicable. No limitation.

simulation_reversion-model1.xls . . . NEW!

• Download: Click here to download simulation_reversion-model1.xls, file with 44 KB.
• Short Description: Excel spreadsheet simulating both real and risk-neutral sample paths from the stochastic process named "Mean-Reversion Model 1". By pressing F9, you see new sample paths in the chart. All formulas are non-protected.
• Main related webpage: Monte Carlo Simulation of Stochastic Processes. See the item "Monte Carlo Simulation of Mean Reversion Model 1".
• Software type: Freeware for educational purposes.
• VBA code: No.
• Limitation compared with the registered version: Not applicable. No limitation.

FRENCH USERS:

The spreadsheets without password run without problems even in French Excel, because they don't need cryptography.
For the files with password protection, the French version of Excel doesn't work due to the differences between the cryptographic systems used in USA (and other countries) and in France. This differentiation has advantages and disadvantages, but here has disadvantages. So, I recommend an English or Spanish or Portuguese or any other Excel version that adopted the US cryptography.
However, when visiting Paris in January 2002, I saved three files (with password) using a French version of Excel. These files, even with password, run in French Excel without any problem. These three files were packed in a single compressed file (.zip) and it is downloadable directly with the link below:

Download the file french_users.zip with 436 Kb containing three spreadsheets (timing_inv_inf-hqr.xls; timing-e-97-vba-hqr.xls; and hyb_qr_generator.xls) for French users.
For the other files with password, unfortunately I have only the ones with the US cryptographic system version.