Theoretical and Greek Prices
Use this Excel formula for generating theoretical prices for either call or put as well as the option Greeks:
=OTW_BlackScholes(Type, Output, Underlying Price, Exercise Price, Time, Interest Rates, Volatility, Dividend Yield)
- c = Call, p = Put, s = Stock
- p = theoretical price, d = delta, g = gamma, t = theta, v = vega, r = rho
- Underlying Price
- The current market price of the stock
- Exercise Price
- The exercise/strike price of the option
- Time to expiration in years e.g.
0.50 = 6 months
- Interest Rates
- As a percentage e.g. 5% = 0.05
- As a percentage e.g.
How to Choose the Best Chart Time-Frame for Trading
25% = 0.25
- Dividend Yield
- As a percentage e.g. 4% = 0.04
A Sample formula would look like .
=OTW_IV(Type, Underlying Price, Exercise Price, Time, Interest Rates, Market Price, Dividend Yield)
Same inputs as above except:
- Market Price
- The current market last, bid/ask of the option
If you're having troubles getting the formulas to work, please check out the support page or send me an email.
If you're after an online version of an option calculator then you should visit Option-Price.com
Just to note that much of what I have learnt that made this spreadsheet possible was taken from the highly acclaimed book on financial modeling by Simon Benninga - Financial Modeling - 3rd Edition
If you're an Excel junkie, you'll love this book.
There are loads of real world problems that Simon solves using Excel. The book also comes with a disk that contains all the exercises Simon illustrates.
You can find a copy of Financial Modeling at Amazon of course.