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

option volatility calculatorproshares ultra vixdownside risk calculationquote downloaderformula for waccmean variance calculatorfifo and weighted averageshorting a call optionapple stock history calculatorsquare root multiplied by a square rootintrinsic value of a call optioncolor note padstraddle holdcalculating skewrelative deviation calculatorcalculator with negative signshedging with vixstandard error of skewnessblack scholes delta calculatorexcel standard deviation formulathe formula for finding the sample mean isproshares inverse etfvelocityshares daily inverse vix short term etnhow to calculate a variance in excelvariance formula grouped datacoefficient of variation calculator excelmodelo black scholesblack scholes d1dividend calculator spreadsheetiron butterfly optionfx option pricerinverse s&p 500yahoo finance stock quotes in excelxiv vixrsi valuecost of debt formula waccblack scholes d1 d2etf listcalculating stock volatilityhow to calculate mean average deviationhow to find the mean variance and standard deviationoptions expirationsproshares short s&p 500 etfwhat is a straddle in optionsvix stock pricevxx us equityvix term structure cboevix index real timeinverse etf s&phow to calculate kurtosis by handcost of preferred equity formulacalculate std devcalculating skewness and kurtosiscalculating the intrinsic value of a stockstandard deviation financial calculatordelta hedging formulacall option intrinsic valuenotional value of futureshow to calculate annualized volatilityestimated standard deviation calculatorvix exchangevix options expirationyahoo finance download csvwhen do vix options expireexponential function in excel 2010implied volatility term structurenatural log function in excelultra etfexcel gamma functioncost of capital wacceurusd etfstandard dev calcvix fundsblack scholes exampleinverse etf listblack-scholes valuation modeldow weighting