This Excel spreadsheet implements the Black-Scholes pricing model to value European Options (both Calls and Puts). The spreadsheet allows for dividends and also gives you the Greeks
These are sample parameters and results
- Delta is the derivative of option value with respect to the underlying asset price. It’s positive for Calls and negative for Puts.
- Vega is the derivative of the option value with respect to the volatility
- Theta is the derivative of the option value with respect to time
- Rho is the derivative of the option value with respect to the interest rate
The assumptions used in deriving the model include
- constant volatility (which is not valid in the long term),
- efficient markets (hence no room for artbitrage),
- constant interest rates,
- returns are log-normal in their distribution,
- the option can only be exercised on its expiration dates (i.e. European style),
- no commision or transaction costs,
- and perfect market liquidity.