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
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Black-Scholes Options & Warrant Pricing Model

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

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.

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

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  • Rate this Downloadable Tool

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  • Gregory Funk(last updated: 13/01/2020 13:21)
    Tool has circular reference and does not work
    Do not purchase if you want a spreadsheet that works. This has a circular reference.
  • 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!


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