Black-Scholes Option Pricing Model Spreadsheet
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- čas přidán 5. 09. 2024
- Note that this video is getting rather old. I have an updated video on the spreadsheet here (it is also embedded at the end of this video) -- • BS Option Pricing Mode... . It's a bit longer, but there are a few new features on the spreadsheet. You can also follow my Substack newsletter at kevinbracker.substack.com. There's even a post with the spreadsheet and some pdf files available for download titled Black Scholes Option Pricing Model. Check it out!
Your Finance series literally set me onto a path towards a career. May seem like a simple enough gesture from your perspective but it was nothing short of transformative for me. Thanks Kevin.
cool! what king of career?
We can’t access the spreadsheet without access
Edit: I just received access very quickly. Thank you for taking the time to share this spreadsheet with us!
Thanks, Kevin! I'm studying options myself, and this spreadsheet would be perfect! I just requested permission to download the spreadsheet! Thank you!
Just sent it.
I agree with the guy below me thank you for sharing the spreadsheet. it was nothing short of transformative. Good man.
Can you please email the spreadsheet at theatlasbird@gmail.com. Thank you
I'm studying options, so I requested permission to download the spreadheet. Thank you!
Did you get access?
Hello! May I ask you permission to download spreadsheet! And I’ll really appreciate you explain how to calculate volatility from asset price history?
Thank you very much Kevin. Very useful resources and explanation. Your contribution is very valuable for the people all around the world to have financial literacy or for students or anyone interested. Thanks a lot.
Thanks so much, Kevin, this perfect video makes the concept simple and clear. I have been struggling with these concepts for very long time, you just explain them to me in a simple and direct way, really appreciated!
Have been using this spreadsheet for a while, simple and always reliable, thanks!
Can you please email the spreadsheet at theatlasbird@gmail.com. Thank you
Exactly what I was looking for, thank you!
Great video Kevin, requested access of the google document
thank you. i am currently analyzing the daily open, high, low, and close of aapl to try and find a winning strategy hahhaa. this will help a lot. thank you.
That was 1998 instead of 2008. While it was a potential catastrophe, it was resolved relatively smoothly. Also, while Myron Scholes (of the Black-Scholes model) was involved, it was more than just an options issue and largely a leverage issue.
Hi @kevinbracker. Loved the video!!! I know this was from several years ago but I've seen much more recent comments from you, so I hope that you still check this page. If so, would you very kindly e-mail me the spreadsheet? My email address is maxi1072@yahoo.com. If there are any documents that might go along with it, to guide in using the sheet (mainly because I'm sure I'll have questions), that would be equally as appreciated. Thank you so much and thank you for all you do to keep us so well informed!
Great Video Kevin!!! Thank you !!! I have requested access to download the spreadsheet
Awesome, thanks. I just requested a copy of the spreadsheet (needed Google Docs permission)
Thanks Kevin! got excel sheet via email good job..keep it up love and respect from India.
Can u send the excel? swapnil.5230@gmail.com
Mr Kevin , I am seeing videos on Option on you tube for many days , as I am novice to Option . So far i have I have seen your two videos, another on Black Scholes. One of the best video for a novice like me . Thank you . Can you give a list of your videos on You Tube ? Thank you once again.
Good afternoon, I am interested in your spreadsheet. I am learning black & Scholes and this is very accurate. thank's
On it's way
Thanks a ton!!!! I'm really very grateful to you for this video. Can you please grant me the sheet access? Thanks again
Should be on its way
Thanks Kevin for the spreadsheet ,learning from your videos :)
Very Very helpful and also Good Human Being God Definitely Bless U Sir Thank You for Your support
Thank you so much Kevin, please share the spreadsheet with me as well -
have requested for the access through my gmail account.
Your comments was extremelly usefull. tks by your video.
Can you please email the spreadsheet at theatlasbird@gmail.com. Thank you
Very useful
I requested permission to get spreadsheet. Thanks man
Hi Kevin
Very informative video Thanks
Can u pls share this spreadsheet, the link given in video is not working. 👍🏻
yes I said "ah but i am not talking about 2008" so yeah I know what you mean))
absolutely it was due to leverage. But that leverage was only possible by this pricing model - it was so low risk that banks agreed to give huge loans to LTCM, isn't it?
Sir I have downloaded it a lot of thanks for this
No one can give it for free
Again lot thanks
You're welcome!
How much is it? I’ll buy it
Mr Kelvin I used your calculator with following values :T-0.104 , Ex Pr 8500 , Cu Pr 8350 , Vol 20 % , Int 9% PA . I am getting Call/Put value , Delta and Gamma correct , but in Call Theta 1357.64 , Vega 1069.64 Rho 381.59 coming and same way in put . Please let me know where I am wrong . In which Video you have explained how to use all these ?
DEEN DAYAL Saboo It looks like you might be entering T as a negative value. T must always be positive as it is the time remaining until expiration. If you look at my page, there is a playlist for options which has several videos. It's been awhile since I recorded these, so I don't remember all the details of which is which.
hi many thanks ... please share the access to the spreadsheet
ah but I am not talking about 2008. Long term capital management. They have been using this formula to price options, and they have put and risk hundreds of billions, isn't that right?
Thanks for the video on analyzing option pricing. Can I get a copy of the spreadsheet?
Thanks again for the video.
Just to confirm my understanding: for the options market, the price of options is determined by the market, and then we go back to calculate "implied volatility", rather than here (a valuation process), where we estimate the volatility and calculate the price.
And is there a place where I can learn about how to calculate the OTM/ITM probability?
Is the ITM probability just N(d2)? Numerically it matches what I have. But I don't understand why.
Is what the equation doing to compare the value of stock vs. current value of the option if ITM??
Thanks for the info. I've requested access on Google docs
Thanks Kevin
Hi Kevin ... Just requested access Please let me know
Very good effort
Thank you s
HI kevin i requested for access to follow along for an assignment due, could you grant it? Thank you!
On its way
Hi Kevin
The value of theta is not coming accurate at all. Could you correct it and upload the spreadsheet again? Thanks
Hello I’m interested in your spreadsheet, sent an access request for the spreadsheet, would you please share ?
On it's way
Hello! May I have your excel sheet please?
Hi Kevin..Thank you very much for the spreadsheet..I really appreciate your video and subject that you explained through the video and spreadsheet as well..Once again thank you..May I know do you have any videos uploaded that contain explaination regarding greek letters.
Thank you...Naidu
does not open as excel to do what you do on video,only opens as a page to zoom on.
Hi Kevin, I am interested in using this spreadsheet. I sent a request. Thank you
On the way
Hi Kevin, what does d1 and d2 signify in the model. I know thatN(d1) is the delta for the model but what does d1,d2 and N(d2) siginfy?..Thanks
Actually no...those would be Collateralized Debt Obligations (CDOs) and Credit Default Swaps (CDSs) were the proverbial weapons of mass destruction.
Hi I just requested the access. Please could you grant it? Thanks a lot!
On its way.
I have a question, say if we looked at semi-annually values, should we also adjust risk free rate to quarterly?
I'm not sure what you mean by semi-annually values. However, ideally, the risk-free rate should match the risk-free rate from now to the time of expiration. Therefore, for an option with 2 weeks remaining until maturity, you would use something along the lines of a Treasury Bill with 2 weeks to maturity, whereas for an option with 3 months remaining until maturity, you would use the 3-month Treasury Bill. The formula assumes continuous compounding (discounting). All that said, the risk-free rate is the input with the least sensitivity, so as long as it is reasonably close, the model should give a reasonable approximation.
@@kevinbracker Hi sorry, it might be confusing... this was a question I received where I was given that time of maturity of the option in years is 1 and the length of time period in binomial model dt = 0.25, and risk free rate was 4%... don't know if that changes. But as you said if risk-free rate is least sensitive, should be fine
I am not able to download the file , can You help to how to download it ?
thank you
Sent a request to access the document
Thank you!
How to find out the risk-free-rate
Typically, the TBill yield with the same time to maturity is used. For example, if you are buying an option with 1 month to expiration, you'd use the one-month TBill yield. From a practical perspective, it will not make a huge difference if the yield is reasonably close.
You don't take into consideration the effect of dividends on puts?
The traditional BS OPM does not take into account dividends. However, if you are dealing with dividend paying stocks that pay dividends between now and expiration, the model can be modified. That said, I do not cover the adjustment in my courses.
I just requested a copy of the spreadsheet
great job, thanks!
Link does not work...
kindly provide access to the spreadsheet
mr kevin thank yo so much but I want to pricing option from yahoo finance can you help me to get data
Hi, I have sent a access request to the Google Docs. Can you please approve the access for the spreadsheet.... Thanks...
Hey, can u upload the .xls version of the Black-Scholes Option Pricing Model ??
Please eloborate excel formula 🙏
Link doesnt work.
PLEASE GIVE PERMISSION
how do you get access to the spreadsheet?
Request a copy -- you should be able to do that through the link as I get multiple requests most days or contact me with your email address.
will i get permission to download the spreadsheet??
can you please share the spread sheet with me I requested access :)
hi please tell me how can i get strike price , thanks
With options, the strike price is something you select when you pick the option. For example, if Apple is trading for $459, I can choose to buy a 450 strike, a 455 strike, a 460 strike, a 465 strike, etc.
@@kevinbracker thank you sir for your reply, i confused when saw some people take strike price less than current in some cases in the series and it is above the current in other cases
@@kevinbracker please do a favor and indicate the strike and current in this table
forms.gle/AaiqbLrxDNnM7Evz6
Is this spread sheet still available, its says request access?
Yes...I send out a few copies almost every day.
mr kevin i want greeks formula plzz
:)))) Thank you
Download link required
Please grant access
@kurt2rsenjazz at about 0:19 seconds into the video
Thank you for your early reply . If you give your mail address , I can send the worksheet to you . I am entering T as positive , but value of d1, and d2 coming negative.
How do you get the volatility number to plug in?
They are estimates of the future volatility over the remaining life of the option. Note that this implies that we don't know what they will be and are only guesses. Sometimes people will use the option prices to estimate the implied volatility. There are 5 inputs -- time to expiration, risk-free rate, stock price, strike price, and volatility that give us price of the option. Therefore, if we know the market price and we know the other four variables, we can solve for the volatility that makes the equation work. Historical values will give an approximation, but you should subjectively adjust for future events (such as earnings) that might occur between now and expiration. Also note that it is the annual standard deviation, so if you are estimating off of the past 3 months, you need to annualize it to get the historical number.
@@kevinbracker thank you!
dumb math question here but if you had say a 3 month IV, how would one calculate that into annual?
@@brandonschaar6555 Not a dumb question at all. To convert non-annual standard deviation to annual, you multiply by the square root of the number of compounding periods. So, quarterly would by times the square root of 4. Monthly would be by the square root of 12 (and so on).
@@kevinbracker thank you!
Thanks for Tutorial, can you send me spreadsheet please
Bruh access pls
Hi Kevin,
Send me an email through CZcams and I'll get it to you.
swapnil.5230@gmail.com
maskechandrakant@gmail.com
Please share your excel sheet
so this is what bankrupted half of the world=)
WTF stop the BS and post the spreedsheet