Need a European-style Black-Scholes calculator to compute the value of a Put Option or Call Option?  Just interested in how the calculation works? Want something just to double check a calculation? Either way, this spreadsheet will help. All of the formulas can be read (and modified if you think that’s necessary).

Quick and simple to use Black-Scholes Calculator. A total of 8 inputs are necessary for this calculation to work.

Black-Scholes Model (European)

System Requirements & Download

Black-Scholes Download

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To use this Black-Scholes calculator all you have to do is enter the required inputs (in total there are 8). Each red cell is a required input, so if something happens to be zero, a “0” still needs to be input. Within most of the inputs, there are notes, which provide some additional guidance in completing the related input. Below are some of the links that we’ve referenced within the notes. We think these links will be beneficial:

Enter information into the cells outlined in red. Option Outputs is all formula driven.

Template Summary

    • Simple to use
    • Easy to understand
    • Notes included to help guide input completion
    • Inputs and outputs are clearly defined
    • No hidden calculations
    • No macros
    • Straight forward
Due to the amount of judgement associated with determining the correct inputs, this site does not offer any guidance in that area, the suggestions provided are just that, suggestions. As always, it is up to you to understand each input and to select the inputs necessary.

Once the inputs are entered, both the call option and the put option are calculated. We’ve also shown the formulas for the primary parameters – d1 and d2. The time to expire is shown in Days, Months, and Years. This calculation is based on the Start Date and Expiration Date as well as the number of days in the year. Adjust as necessary. Note, be sure to delete the example information before beginning. Also, all items in the input section are required to be completed; therefore, if an item is zero, enter a “0” in that cell.

For those of you who want this Black-Scholes Model combined with the historical volatility also found on this site we’ve combined them for you in the link below.

Black-Scholes Model w Volatility Download

Download 3.40 MB 4169 downloads

 

On October 27, 2015   /   Accounting, Analysis, Audit, Calculator, Downloads, Financial Statements, Portfolio