Where can I get a Black-Scholes formula in Excel?

[Ricky]

Is there a formula to calculate Black-Scholes values?

[Bob Phillips]

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" <[email protected]> wrote in message
news:[email protected]...
> Is there a formula to calculate Black-Scholes values?

[Excel Best Practices Resource Center]

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?