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  • Black-Scholes Option Pricing Model

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    Do Tuan Nguyen
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    This document contains the parameters and calculations for a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the Black-Scholes model values, Greeks, and intermediate calculations for the call and put options, including d1, d2, standard normal distribution of d1 and d2, and adjusted d1.

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    Excel Template to calculate option price using Black-Scholes model

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    This document contains the parameters and calculations for a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the Black-Scholes model values, Greeks, and intermediate calculations for the call and put options, including d1, d2, standard normal distribution of d1 and d2, and adjusted d1.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    92 views2 pages

    Black-Scholes Option Pricing Model

    Uploaded by

    Do Tuan Nguyen
    This document contains the parameters and calculations for a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the Black-Scholes model values, Greeks, and intermediate calculations for the call and put options, including d1, d2, standard normal distribution of d1 and d2, and adjusted d1.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Implied Volatility of a European Option

    http://investexcel.net
    Parameters
    Spot Price
    Strike Price
    Risk-Free Rate
    Volatility
    Dividend Yield
    Expiry Time

    Call
    31.12
    34
    0.05
    0.3094
    0
    0.3142

    Value
    Delta
    Gamma
    Vega
    Theta

    1.25
    0.369566
    0.069924
    6.583827
    -3.754345

    Put
    3.60002
    -0.6304
    0.06992
    6.58383
    -2.0808

    Intermediate Calculations
    d1
    d2
    -0.3330
    -0.5064

    nd1
    nd2
    n_dash_d1
    0.369566193 0.3062710987 0.377424825

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