Black-Scholes Options & Warrant Pricing Model
  • Black-Scholes Options & Warrant Pricing Model
  • Black-Scholes Options & Warrant Pricing Model
  • Black-Scholes Options & Warrant Pricing Model
Originally published: 20/08/2019 06:46
Last version published: 14/09/2019 12:15
Publication number: ELQ-79897-3
View all versions & Certificate
certified

Black-Scholes Options & Warrant Pricing Model

A simple Black-Scholes Model in Excel. Input your own data!

Description
In order to use this model, fill in the various inputs including maturity, strike price, etc. in blue.

The Black Scholes model, also known as the Black-Scholes-Merton (BSM) model, is a model of price variation over time of financial instruments such as stocks that can, among other things, be used to determine the price of a European call option.


The model assumes the price of heavily traded assets follows a geometric Brownian motion with constant drift and volatility. When applied to a stock option, the model incorporates the constant price variation of the stock, the time value of money, the option's strike price, and the time to the option's expiry.


Also called Black-Scholes-Merton, it was the first widely used model for option pricing. It's used to calculate the theoretical value of European-style options using current stock prices, expected dividends, the option's strike price, expected interest rates, time to expiration and expected volatility.

KEY TAKEAWAYS
The Black-Scholes Merton (BSM) model is a differential equation used to solve for options prices.
The model won the Nobel prize in economics.
The standard BSM model is only used to price European options and does not take into account that U.S. options could be exercised before the expiration date.

Source: Investopedia

This Best Practice includes
1 Excel File

Acquire business license for $5.00

Add to cart

Add to bookmarks

Discuss

Reviews

  • Rate this Downloadable Tool

    Write a review

  • Doug Dyer(last updated: 19/09/2019 19:27)
    Awesome model, well formatted and accurate!
    Clean, simple clear approach to options pricing. Excited to check out Prather's other models as well!

keyboard_arrow_leftkeyboard_arrow_right

Related categories


See all

Any questions on Black-Scholes Options & Warrant Pricing Model?

The user community and author are here to help. Go ahead!


5.0 / 5 (1 votes)

please wait...