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  1. #1
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    Black-Scholes (97 +)

    Does anyone know of a built in function to perform Stock option valuation using the Black-Scholes model? Or, alternatively, any source of a free add-in?

  2. #2
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    Re: Black-Scholes (97 +)

    No idea what that means, but a Google search turns up several, for example Excel Everywhere - A little financial calculator: Black and Scholes.

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    Re: Black-Scholes (97 +)

    Thanks Hans, I also did a Google and found some things... I just hoped the Lounge community might have some inside knowledge. BTW, it is a valuation model to calculate the value of stock options given to employees (usually executives) as part of their compensation. The valuations are then used in various mandated financial reports.

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    Re: Black-Scholes (97 +)

    > I just hoped the Lounge community might have some inside knowledge.

    I suspect that people who have inside knowledge of Black-Scholes valuation would not be very likely to be answer questions in Woody's Lounge... <img src=/S/grin.gif border=0 alt=grin width=15 height=15>

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    Re: Black-Scholes (97 +)

    But Hans! <img src=/S/shocked.gif border=0 alt=shocked width=15 height=15> I thought you knew everything, Black-Scholes formula is like ... Planck's constant, Colebrook's formula etc. etc. <img src=/S/sarcasm.gif border=0 alt=sarcasm width=15 height=15>

    Nah, just kidding. <img src=/S/smile.gif border=0 alt=smile width=15 height=15> Oh, all these names during my education as engineer and economist.

    In 1997 Prof. Robert C. Merton and Prof. Myron S. Scholes were awarded the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel for "a new method to determine the value of derivatives". Fischer Black who worked together with Scholes (they presented the formula 1973) died in 1995.

    Anyhow, as little background for interested Loungers; the press release from October 1997: The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997

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    Re: Black-Scholes (97 +)

    <P ID="edit" class=small>(Edited by Argus on 09-Feb-07 06:18. Minor typo.)</P>Don,
    Let me first say that this is not something I use daily (or even every fifth year <img src=/S/grin.gif border=0 alt=grin width=15 height=15> ), but it is part of many educations (corporate finance etc.), even if you later on don't use it. So I was introduced to the Black-Scholes in the first half of the 90's. Since I have been using Excel since version 2 it was some fun time in the, for me, early days of Internet to look for interesting pages about Excel, add-ins etc.

    When I read your post I thought; don't I have an options/Black-Scholes add-in somewhere? A little digging in a backup CD and I found one, apparently from 96/97. The web address in the readme file wasn't valid anymore. But a quick search for the author's name/file name gave this page: black scholes options - Web Sites and Resource Page

    and among the links I found a new address to the one I tried: !Options Home Page - Black Scholes Options Pricing by Ray Steele.

    Apparently it's shareware, not crippled, but registration is needed after 30 days.

    Since it's a long time since I tried it I can not remember if I found some problems or errors, but don't think so. Can't look at it now since I at the moment don't have Excel installed. <img src=/S/blush.gif border=0 alt=blush width=15 height=15>

    Also, I'm a little late in posting, so you have probably found something that works. There must be many examples of this one in Excel.

    Regards,

  7. #7
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    Re: Black-Scholes (97 +)

    Thanks for the background.

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    Re: Black-Scholes (97 +)

    Thanks for a reply! <img src=/S/wink.gif border=0 alt=wink width=15 height=15>

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    Re: Black-Scholes (97 +)

    Argus, excuse the belated reply but I wanted to thank you for the information... it was very useful. Like you, it has been a long time since I have dealt with this but it is now relevant professionally. Reminds of how often I wish I was more attentive as a student.

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