Sunday, December 25, 2005
Sunday, December 04, 2005
Black-Scholes Excel Worksheet
After spending a futile hour searching the internet for a Black-Scholes Model (European-style options) for Excel, I made my own. Until I figure out how to post an .xls document to my blog, I can e-mail it to anyone who asks (free of course). It is very useful too! Just put in the information: stock price, exercise price, interest rate, variance, and time to expiration. The worksheet yields the value of the call and put. This just might save certain esoteric business students a few minutes.
Update from November '08: Who knew BS was so fascinating, this is definitely our most popular blog post. With a 95% confidence interval (3% sigma), I will e-mail out the model within 24 hours.