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Black-Scholes Put Calculator

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 %.

Example 1

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.

Example 2

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.


Espen Gaarder Haug: Black-Scholes Directly in a Excel Sheet