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

vix settlement pricesbear call spread payoffvix historical pricescboe websitevariance formula for grouped dataall etf listsoros holdingsdow divisorcalculating exponential moving averagemoving standard deviation excelblack scholes merton calculatorcalculating percentiles from mean and standard deviationhow is vxx calculateddaily volatility formulacalculate variance on excelnotepad themescv calculation excelcalculate formula in excelexcel option calculatornotepad themevix etf vxxwarren buffett 13fdelta hedge optionsdef standard deviationfinance msftaverage true range explainedsimple arithmetic formulasdelta of put option formulavariance formula for grouped datawhat is a long straddlevariance statsgeorge soros 13fdollar weighted return calculatorexcel simple formulasoption calculator profitvolatility calculation formulaoption payoff diagramsharpe ratio calculatorvariance calculation excelhow to calculate average deviationnotepad themesmarket cap weighted indexema buutwhat does cboe stand forcalculation of skewness and kurtosisfinding the median in excelcall option payoff graphpayoff graphvix term structure cboecollar payoff diagramhow to calc varianceitm callstraddle option strategy examplewhat does volatile mean in stockscftc cot reportmacd histogrampercentiles calculator statisticsdelta option formulacoefficient of skewness exampledefinitional formula for variancecboe vix volatility indexblack scholes pricing formulacolour notepadnotepad color codesstandard deviation calculation in excelkurtosis pptweighted average cost inventory formulaweighted average cost of inventory formulacalculate skewnessonline black scholes calculator13f reportsdefine backwardationhedge deltawiki volatility