Professional Excel Templates for your Business
Option Price Calculator (Black-Scholes)
This is call and put options price calculator that uses the Black-Scholes model. The model helps to calculate the price of a European option based on the current stock and strike prices, risk-free interest rate, time to maturity and the expected volatility of the underlying asset price.
The underlying assumptions of the Black-Scholes model:
- The underlying price follows a geometric lognormal diffusion process;
- The risk-free rate is known and constant;
- The volatility of the underlying asset is known and constant;
- There are no taxes or transaction costs;
- There are no cash flows on the underlying (e.g. payments of dividends);
- The options are European (e.g. cannot be exercised before the maturity date).
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