Black-Scholes Call Calculator

Calculates the Black-Scholes Call.

Formula: (d1=(LN(stock/strike)+((rfRate/100)+(vol/100)^2/2)*ytm)/((vol/100)*SQRT(ytm)))*0 + (d2=d1-(vol/100)*SQRT(ytm))*0 + stock*NORMSDIST(d1)-strike*EXP(-(rfRate/100)*ytm)*NORMSDIST(d2)

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 %.
	Call	2.1334	Calculates the call value.

Example 2

Calculate the years to maturity for a call of 2.

These keystrokes assume the values from example 1.

Value	Keystrokes	Display	Description
2	Call	2.0000	Stores the Call value.
	ytm	0.2343	Calculates the years to maturity.

Also see the Black-Scholes Put Formula Calculator.

Reference:

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