Black & Sholes SpreadSheet
Highlights Black & Sholes SpreadSheet
- Based on the Black-Scholes option pricing model + its Merton’s extension to account for dividends
- Calculates call and put option prices when given the parameters (underlying price, strike price, volatility, interest rate, dividend yield, and time to expiration)
- Calculates option Greeks – delta, gamma, theta, vega, rho
- Finds implied volatility when given an option’s price and the other parameters
- Finds any other parameter when given an option’s price and the other parameters
- Simulates and analyses potential scenarios in the market and the effect of individual parameters on option prices and Greeks
- Very simple navigation – you can start using it immediately
- PDF guide explaining option pricing, volatility, and the Black-Scholes model (including formulas for call price, put price, and Greeks)
- Works in all versions of Excel
Black-Scholes in Excel: The Big Picture Black & Sholes SpreadSheet
If you are not familiar with the Black-Scholes model, its parameters, and (at
least the logic of) the formulas, you may first want to see this page.
Below I will show you how to apply the Black-Scholes formulas in Excel and how to put them all together in a simple option pricing spreadsheet. There are 4 steps:
- Design cells where you will enter parameters.
- Calculate d1 and d2.
- Calculate call and put option prices.
- Calculate option Greeks.
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