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This page is a guide to creating your own option pricing Excel spreadsheet, in line with the Black-Scholes model (extended for dividends by Merton). Here you can get a ready-made Black-Scholes Excel calculator with charts and additional features such as parameter calculations and simulations.

If you are not familiar with the Black-Scholes model, its parameters, and (at least the logic of) the formulas, you may first want to see this page.

Below I will show you how to apply the Black-Scholes formulas in Excel and how to put them all together in a option pricing spreadsheet. There are 4 steps:

Design cells where you will enter parameters.

Calculate d1 and d2.

Calculate call and put option prices.

Calculate option Greeks.

First you need to design 6 cells for the 6 Black-Scholes parameters. When pricing a particular option, you will have to enter all the parameters in these cells in the correct format. The parameters and formats are:

S0= underlying price (USD per share)

X= strike price (USD per share)

σ= volatility (% p.a.)

r= continuously compounded risk-free interest rate (% p.a.)

q= continuously compounded dividend yield (% p.a.)

t= time to expiration (% of year)

Underlying price is the price at which the underlying security is trading on the market at the moment you are doing the option pricing. Enter it in dollars (or euros/yen/pound etc.) per share.

Strike price, also called exercise price, is the price at which you will buy (if call) or sell (if put) the underlying security if you choose to exercise the option. If you need more explanation, see: Strike vs. Market Price vs. Underlying’s Price. Enter it also in dollars per share.

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