Where can I get a Black-Scholes formula in Excel?
Is there a formula to calculate Black-Scholes values?
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I have no idea what Black-Scholes is, but a simple Google lookup of the NGS
threw up http://tinyurl.com/aumjf, and on the web, http://tinyurl.com/dj77z -- HTH RP (remove nothere from the email address if mailing direct) "Ricky" wrote in message ... Is there a formula to calculate Black-Scholes values? |
For European options the call value formula is:
=(s*(NORMDIST(((LN(s/x))+((rr+(sigma*sigma/2))*t))/(sigma*(SQRT(t))),0,1,TRUE)))-(x*(EXP(rr*t*(-1)))*(NORMDIST(((LN(s/x))+((rr+(sigma*sigma/2))*t))/(sigma*(SQRT(t)))-(sigma*SQRT(t)),0,1,TRUE))) rr risk freerate of interest s stock price sigma volatility t time x strike price This is taken Chapter 7 from my book "Excel Best Practices for Business" (ISBN: 076454120X). Rather than calculating a single point estimat, the spreadsheet produces a table over a range of time periods and volatility. "Ricky" wrote: Is there a formula to calculate Black-Scholes values? |
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