Black-Scholes Model – All Resources

Black-Scholes Model Formulas and Guides

Black-Scholes formulas – Explanation of Black-Scholes formulas for d1, d2, call price and put price. Step-by-step guide to calculation of option prices under the Black-Scholes model. Formulas for option Greeks (delta, gamma, theta, vega, rho).

Black-Scholes Excel implementation – Illustrates how the formulas above are implemented in Excel. Detailed guide how to create your own Black-Scholes Excel calculator for pricing of calls and puts.

Black-Scholes Excel formulas for Greeks – Second part of the above, explaining Excel implementation of Black-Scholes Greeks (delta, gamma, theta, vega, rho).

Black-Scholes Excel Calculators

Black-Scholes Calculator – Excel calculator for call and put option prices under the Black-Scholes model.

Option Strategy Simulator – Combining the above for multiple options. Excel calculator to price option spreads and strategies using the Black-Scholes model, simulating scenarios, calculating aggregate Black-Scholes Greeks and break-even points.

Implied Volatility Calculator – Excel calculator that uses the Black-Scholes option price formulas backwards to calculate implied volatility from call or put option prices.

Original Papers by Black, Scholes, Merton

The Valuation of Option Contracts and a Test of Market Efficiency, Black-Scholes, 1972

The Pricing of Options and Corporate Liabilities, Black-Scholes, 1973

Theory of Rational Option Pricing, Merton, 1973

Related pages

what is the median function in excelskewness and kurtosis in statisticsaverage annual rate of return calculatorvelocityshares daily 2x vix short term etnoptions implied volatility calculatormeasure of skewness and kurtosishow to calculate variance on calculatorproshares short vix short-term futures etfstandard deviation calculator in excelwhat does oversold mean in stocksformula of skewnessfinding the median calculatorcalculator for negative and positive numbers3x etf listvixy etfvariance equals standard deviationexcel formulas minuscboe paper tradingrsi valueequation for dividendsgeometric mean on excel13f holdingsskew calculationvix futures term structureskewness and kurtosis formulaguts option strategyubs e tracshow to put power in excel formulablack scholes templatevix stock symboloption delta hedgedisadvantages of weighted average methodblack sholes calculatorvxx prospectusxvixleptokurtic graphshort iron condormacd signalshare price volatility calculatorweighted arithmetic mean formulacalculating volatility for black scholesexcel annualized returnrsi indicator explainedblack scholes d1 d2how to interpret implied volatilityoption pricing black scholesexcel normdiststandard error of skewnessvariance formula grouped dataempirical formula calculator statisticsskewness kurtosis normal distributionstock price volatility formulageometric standard deviation calculatormacd valuesstock market volatility definitioncboe vix quotenormdist excel exampleannual rate of return formula excelvolatile meaning in financeblack scholes assumptionwhat does macd meanhedge funds definition with examplesblack scholes optioncost of preferred equity formulahow to calculate arithmetic average returnsample covariance calculatornotepad fontsquote tvixfxa etfgreeks deltavariance on calculatorblack scholes stock option calculatorsma calculatorhow to calculate thetavix futures charteuro stoxx 50 quoteultra short etf