Calculates the Black-Scholes Put.
Formula: (d1=(LN(stock/strike)+((rfRate/100)+(vol/100)^2/2)*ytm)/((vol/100)*SQRT(ytm)))*0 + (d2=d1-(vol/100)*SQRT(ytm))*0 + strike*EXP((-rfRate/100)*ytm)*NORMSDIST(-d2)-stock*NORMSDIST(-d1)
stock: The stock price
strike: The strike price.
ytm: The years to maturity.
rfRate - rf %: The risk free rate %.
vol %: The volitility %.
Calculate the call value for the following:
Value | Keystrokes | Display | Description |
---|---|---|---|
60 | stock | 60.0000 | Stores the stock price. |
65 | strike | 65.0000 | Stores the strike price. |
.25 | ytm | 0.2500 | Stores the years to maturity. |
8 | rf % | 8.0000 | Stores the risk free rate %. |
30 | vol % | 30.0000 | Stores the volitility %. |
Put | 5.8463 | Calculates the put value. |
Calculate the years to maturity for a put of 6.
These keystrokes assume the values from example 1.
Value | Keystrokes | Display | Description |
---|---|---|---|
6 | Put | 6.0000 | Stores the Put value. |
ytm | 0.2988 | Calculates the years to maturity. |
Also see the Black-Scholes Call Formula Calculator.
Reference:
Espen Gaarder Haug: Black-Scholes Directly in a Excel Sheet