BlackScholes (Function)
DisclaimerThe BlackScholes function calculates the theoretical value of an option based on the Black-Scholes option pricing model. BlackScholes is designed to be used for European non-dividend paying stock options.
Syntax
BlackScholes(DaysLeft, StrikePr, AssetPr, Rate100, Volty100, PutCall);
Returns (Double)
A numeric value representing the theoretical value of a European non-dividend paying stock option.
Parameters
| Name | Type | Description |
| DaysLeft | Numeric | Sets the number of calendar days left until expiration of option. |
| StrikePr | Numeric | Sets the strike price of the option. |
| AssetPr | Numeric | Sets the price of underlying asset. |
| Rate100 | Numeric | Sets the short-term risk free interest rate, usually the 90-day T-Bill, as a percentage (enter 4.9 for 4.9%). |
| Volty100 | Numeric | Sets the volatility of the underlying asset as a percentage (enter 22.5 for 22.5%). |
| PutCall | Numeric | Specify if it is a Put or Call option. Put or 2 = Puts; Call or 3 = Calls. |
Remarks
The input parameter DaysLeft can also be a numeric function such as DaystoExpiration or Next3rdFriday.
The input parameter Volty100 can also use a reserved word value such as IVolatility *100.
Example
Assigns to Value1 the theoretical price of a European non-paying dividend call option using the DaystoExpiration function to calculate the number of days left in the option until it expires in January of 2007 from today with the short-term 90-day T-Bill at 4.9%.
Value1 = BlackScholes(DaystoExpiration(1, 107), Strike, Close, 4.9, 22.5, Call);