Last version published: 24/01/2017 15:49
Publication number: ELQ-76537-4
View all versions & Certificate
Option Value with Black-Scholes formula
Find the value of puts, calls, and combinations of options using the Black-Scholes formula.
Prof. Richard L. Smith offers you this Best Practice for free!
download for free
Add to bookmarks
Further information
Required input data:
- Stock Price now
- Exercise Price of Option
- Number of periods to Exercise in years
- Compounded Risk-Free Interest Rate
- Standard Deviation
Produced output:
- Present Value of Exercise Price
- s*t^.5
- d1
- d2
- Delta N(d1) Normal Cumulative Density Function
- Bank Loan N(d2)*PV(EX)
Results:
- Value of Call
- Value of Put
The Option Pricing Model depends on market completeness, continuous trading, normally distributed risk, independence, and other factors to derive option values. When these assumptions are violated (as they usually are for new ventures and for real options), formal valuation approaches can still provide insights, but the actual values of options are less certain. It is common to employ simulation and numerical methods to value options when critical assumptions are not satisfied"
(An Introduction to Options, Entrepreneurial Finance, by Janet Kilholm SMith, Richard L. Smith and Richard T. Bliss)
Reviews
4.5 / 5 (38 votes)- 74%
- 11%
- 11%
- 3%
- 3%
Write a review
- goodgood excel
People using this Best Practice also downloaded
Black-Scholes Excel Pricing Model
A mini Black-Scholes Excel model, just hit and go!4,072Discussadd_shopping_cartfreeby Gia Hy Le Pham
Black-Scholes converted for Binomial Tree
Converts the standard deviation input in the Black-Scholes model to up and down movements in the binomial tree.2,084Discussadd_shopping_cartfreeby Aswath Damodaran
Black-Scholes Option Price Excel Calculator
Call and put options price calculator that uses the Black-Scholes model for option pricing1,079Discussadd_shopping_cartDividend Adjusted Model to value Long Term Options
A dividend-adjusted model for valuing long term options.295Discussadd_shopping_cartfreeBlack-Scholes Options & Warrant Pricing Model
A simple Black-Scholes Model in Excel. Input your own data!204Discussadd_shopping_cart$5.00by Prather Financial
Net Capital Expenditures for a Firm
Estimate the net capital expenditures for a firm, when it reaches stable growth147Discussadd_shopping_cartfreeCapitalizing Leases - Webcast
Learn how to treat leases as a financial expense instead of an operating expense297Discussadd_shopping_cartfreeOneClick Australian Stock Prediction Using Monte Carlo and Brownian Motion in Python
Monte Carlo and Brownian Motion Models Python script to predict future stock movements.71Discussadd_shopping_cart2016 Round 2, Section 2: Fund the Future
Excel training/competition model from the 2016 Financial Modeling World Championships91Discussadd_shopping_cartfreeby ModelOff
More Best Practices from Prof. Richard L. Smith
Working Capital Policy Template
See how working capital policies are established and how they influence financial needs288Discussadd_shopping_cartfreeby Richard L. Smith
Integrated Financial Statement Template
A simple Full Pro Forma Financial Statement for Entrepreneurs1,211Discussadd_shopping_cartfreeSustainable Growth Template
Understand the links between the Starting Balance Sheet, Year 1 Income Statement and Ending Balance Sheet317Discussadd_shopping_cartfreeVenture Capital Method (Single Round Financing)
A full model enabling an entrepreneur to understand assumptions of both sides of the table in a single round financing15,0494add_shopping_cartfreePresent Value of Entrepreneur's Wealth and Commitment
Calculate how much your entrepreneurial investment is worth in your total projected wealth over your career292Discussadd_shopping_cartfreeValuation - Investor's & Entrepreneur's partial commitment
Calculate the Net Present Value (NPV) for the Entrepreneurs Commitment when Partial952Discussadd_shopping_cartfreeValuation Partial Commitment of the Entrepreneur
Learn how to value an entrepreneur's partial commitment to a venture573Discussadd_shopping_cartfreeEntrepreneur's Cost of Capital Template
Estimate the statistical parameters for determining an entrepreneur's cost of capital710Discussadd_shopping_cartfree
Discussion feed for Option Value With Black-Scholes Formula
The user community and author are here to help. Go ahead!
- Very glad this model is available, this is one of the most tedious calculations and it really does simply finding your option values with simply giving the inputs. Thank you Professor Richard!
