Black Scholes array function

Input variables
Price Now p 4,525.00
Exercise Price x 4,400.00
Volatility, (standard deviation, in %) v 0.158818859907148
Time to expiry t 0.083333333333333
Risk Free Rate r 0.045

4/25/2020
5/15/2013
(6.95)

How to use the function "BS"?

0 The formula BS takes the format '=BS(spot price, option exercise price, volatility, time to expiry, risk free rate)'
1 Enter the values for p, x, v, t and r anywhere in your spreadsheet.
2 Enter the formula '=BS(p,x,v,t,r)', referring the correct cells for the values of p, x, v, t and r respectively.
3 Click on the cell where you entered the formula above, then press shift and select 12 rows by 4 columns, press F2
4 That's it!

Important: This formula uses an annually compounded exchange rate, and not a continuously compounded rate.
If you only know the continuously compounded rate, you will have to derive the annual rate and use that instead of
It's easy to do that - to convert a continously compounded rate to an annually compounded rate, use the formula e
compounded rate
eg, if continuously compounded rate = 5%
Then annual compounded rate = 5.13%

(The formula to convert a given annual rate to continuous rates is 'LN(1+annual rate)'
 d1 = (Log(p / (x / (1 + r) ^ t)) / (v * (t
Results from function: d2 = d1 - (v * (t ^ 0.5))
#MACRO? #MACRO? #MACRO? #MACRO? DeltaCall = Application.NormSDist(
#MACRO? #MACRO? #MACRO? #MACRO? DeltaPut = -Application.NormSDist
#MACRO? #MACRO? #MACRO? #MACRO? vega = p * t ^ 0.5 * norm(d1)
#MACRO? #MACRO? #MACRO? #MACRO? ThetaCall = -(p * v * norm(d1) / (2 *
#MACRO? #MACRO? #MACRO? #MACRO? ThetaPut = -(p * v * norm(d1) / 2 * t
#MACRO? #MACRO? #MACRO? #MACRO? RhoCall = t * (x / (1 + r) ^ t) * Applic
#MACRO? #MACRO? #MACRO? #MACRO? RhoPut = -t * (x / (1 + r) ^ t) * Applic
#MACRO? #MACRO? #MACRO? #MACRO? LambdaCall = DeltaCall * p / CallVa
#MACRO? #MACRO? #MACRO? #MACRO? LambdaPut = DeltaPut * p / PutVal
#MACRO? #MACRO? #MACRO? #MACRO? Gamma = norm(d1) / (p * v * (t ^ 0.
#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?
d1
Nominal d2
100000 440,000,000 Vr de la Posición delta
atility, time to expiry, risk free rate)' #MACRO? Vr de la Prima norm
#MACRO? Delta a Cubrir Vega
p, x, v, t and r respectively. teta
d select 12 rows by 4 columns, press F2, and then Ctrl+Shift+Enter together. Rho
Lambda
Gamma

nuously compounded rate.

e the annual rate and use that instead of the continously compounded rate.
ally compounded rate, use the formula exp(r)-1 where r is the continuously

Therefore, =LN(1+D32)= 0.05

d1 = (Log(p / (x / (1 + r) ^ t)) / (v * (t ^ 0.5))) + (v * (t ^ 0.5)) / 2
d2 = d1 - (v * (t ^ 0.5)) •Delta: Change in option price due to change in
DeltaCall = Application.NormSDist(d1) •Vega: change in option price due to change in 1
DeltaPut = -Application.NormSDist(-d1) •Theta: change in option price due to change in
vega = p * t ^ 0.5 * norm(d1) •Rho: change in option price due change 1% in
ThetaCall = -(p * v * norm(d1) / (2 * t ^ 0.5)) - (r * (x / ((1 + r) ^ t)) * Application.NormSDist Lambda: Change in option price due to change
ThetaPut = -(p * v * norm(d1) / 2 * t ^ 0.5) + (r * (x / (1 + r) ^ t) * Application.NormSDist(-d •Gamma: change in delta due change in $1 in sp
RhoCall = t * (x / (1 + r) ^ t) * Application.NormSDist(d2)
RhoPut = -t * (x / (1 + r) ^ t) * Application.NormSDist(-d2)
LambdaCall = DeltaCall * p / CallValue
LambdaPut = DeltaPut * p / PutValue
Gamma = norm(d1) / (p * v * (t ^ 0.5))

0.71394085685141
0.66809380109152
0.76236812409727
0.30919154520341 norm = (1 / (2 * Application.Pi()) ^ 0.5) * (Exp(-0.5 * d1 ^ 2))
403.88
(532.42)
273.25
#MACRO?
0.14903819257%
 ion price due to change in $1 in Spot price.
on price due to change in 1% in volatility underlying
ion price due to change in time expiry
n price due change 1% in free risk rate.
ption price due to change in spot price
delta due change in $1 in spot price
ct = Prima o precio de una opción europea de compra (Call) en la fecha de valoración.
pt = Prima o precio de una opción europea de venta (Put) en la fecha de valoración.
S = Precio del subyacente.
b = Costo de mantenimiento (Cost of carry). Su valor se define según el tipo de opción a valorar:

r = Tasa de interés en pesos libre de riesgo, calculada bajo metodologia cero cupon TES TF
q = Tasa de rentabilidad continua por dividendos de la acción. Corresponde a la siguiente expresión
q =. Div / S . ,, donde:
Exp(rd*t)
Div = Dividendos a recibir en la fecha t, calculados para el total de acciones del subyacente.
rd = Tasa de descuento para calcular el valor presente de los dividendos. Es igual a r ó rf, según la
moneda en la que estén expresadas las acciones del subyacente.
t = Tiempo restante hasta la fecha de pago de los dividendos.
rf = Tasa de interés en moneda extranjera libre de riesgo,

k = Tiempo restante para la expiración de la opción, expresado en años.

N(di) = Función de probabilidad acumulada para una variable normal estandarizada. Para di igual a las
expresiones así:

σ = Volatilidad anualizada del valor del subyacente calculada como se señala en el numeral 3.2.1. del
presente Anexo.
X = Precio de ejercicio (contratado).
PRIMA DE UNA OPCION CALL

PRIMA DE UNA OPCION PUT

rf, según la