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


options futures and other derivatives solution manualblack-scholes-merton option pricing modelmean median standard deviation calculatorfx function in exceltriple leveraged vix etflist of inverse etfshow to average percentages in excelvix futures quotekurtosis of normal distribution is 3 proofskew formulafutures tick sizeformula for standard deviation in excelstraddle option calculatorwhat does vix meanvolatility calculation formulamsci value weighted indexcalculate formula excelvix futures term structuregreeks thetainterpreting variance and standard deviationnorm.distskewness statistics formulaexcel macro averagemoment coefficient of kurtosisformula to calculate range in excelcalculate sigma in excelpercentile calculator mean sdhistorical volatility calculatorj welles wildermeasures of skewness and kurtosisderivatives book by john hulletf 2x3x leveraged etf listarithmetic average return calculatorvxx etf fact sheetskewness examplescalculate exponential moving average excelvxx us equityblack scholes greeks2x s&p 500 etfweighted average method of inventory valuation exampleaveraging percentages calculatorsvxys&p 500 csvformula black scholesexcel cumulative formulavix real time quotehow to calculate in excel formulaweighted average method of inventory valuation examplespx index bloomberghow the vix is calculatedannualised return formula excelskewness equationcot reportsvariance standard deviation calculatorexcel exp functionstraddle strategycalculate the sample varianceindexation formulaimplied volatility excelinterpreting skewness and kurtosismacd 2 lineproshares uvxycboe trading hourscomputing standard deviation in excelwhat does overbought meanmsft stock split historyhow to compute the average in excelwhat is percent deviationdj euro stoxx 50 historical pricesblack scholes with dividend calculatorvix future quotes