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The Black-Scholes Model in Microsoft Excel

The figure on the following page shows the spreadsheet formulas required to build the Black-Scholes model in Microsoft Excel. The Analysis Tool-Pak add-in must be available, otherwise some of the function references may not work. Setting up the cells in the way shown enables the fair value of a vanilla call or put option to be calculated. The latter calculation employs the put-call parity theorem. [Pg.443]

Price of underlying Volatility Option maturity Strike price Risk-free rate [Pg.443]


Appendix The Black-Scholes Model in Microsoft Excel.331... [Pg.2]


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