{"id":2345,"date":"2020-04-18T22:26:21","date_gmt":"2020-04-18T14:26:21","guid":{"rendered":"https:\/\/www.fabianmoa.com\/?p=2345"},"modified":"2020-04-25T15:56:25","modified_gmt":"2020-04-25T07:56:25","slug":"building-a-black-scholes-merton-bsm-option-pricing-calculator-with-greeks","status":"publish","type":"post","link":"https:\/\/fabianmoa.com\/2020\/04\/18\/building-a-black-scholes-merton-bsm-option-pricing-calculator-with-greeks\/","title":{"rendered":"Building a Black-Scholes-Merton (BSM) Option Pricing Calculator (with Greeks)"},"content":{"rendered":"\n\n\n[et_pb_section fb_built=&#8221;1&#8243; _builder_version=&#8221;4.4.1&#8243; hover_enabled=&#8221;0&#8243; custom_padding=&#8221;11px|||||&#8221;][et_pb_row _builder_version=&#8221;4.4.1&#8243;][et_pb_column _builder_version=&#8221;4.4.1&#8243; type=&#8221;4_4&#8243;][et_pb_text _builder_version=&#8221;4.4.1&#8243; hover_enabled=&#8221;0&#8243;]<p>Sometime back, my student asked me for help in building a calculator in Excel for pricing options using the <strong>Black-Scholes<\/strong> (or what they call as <strong>Black-Scholes-Merton<\/strong>) model. So, I thought of doing this tutorial to show how anyone with Excel can build their own BSM calculator.<\/p>\n<p>In the first part, I will calculate the prices of a European-style call and put option.<\/p>\n<p>In the second part, I will calculate the option greeks for the call and put option<\/p>\n<p><strong>Case:<\/strong><\/p>\n<ul>\n<li>Underlying price = 307.35<\/li>\n<li>Exercise price = 335.00<\/li>\n<li>Volatility = 25% p.a.<\/li>\n<li>Continuously compounded risk-free rate = 2% p.a.<\/li>\n<li>Continuously compounded dividend yield = 0% p.a.<\/li>\n<li>Time to expiration (in years) = 102\/365 = 0.2795 year<\/li>\n<\/ul>\n<p>Let&#8217;s start with the first part!<\/p>[\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=&#8221;4.4.1&#8243;][et_pb_column _builder_version=&#8221;4.4.1&#8243; type=&#8221;4_4&#8243;][et_pb_video src=&#8221;https:\/\/youtu.be\/bbOGtZUWjsA&#8221; _builder_version=&#8221;4.4.1&#8243; hover_enabled=&#8221;0&#8243;][\/et_pb_video][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=&#8221;4.4.1&#8243;][et_pb_column _builder_version=&#8221;4.4.1&#8243; type=&#8221;4_4&#8243;][et_pb_text _builder_version=&#8221;4.4.1&#8243; hover_enabled=&#8221;0&#8243;]<p>Once you are done with that, you can change the inputs to see the impact on the option prices.<\/p>\n<p>Next, we are going to calculate the <strong>option Greeks<\/strong> (i.e. delta, gamma, vega, theta, rho).<\/p>[\/et_pb_text][\/et_pb_column][\/et_pb_row][et_pb_row _builder_version=&#8221;4.4.1&#8243;][et_pb_column _builder_version=&#8221;4.4.1&#8243; type=&#8221;4_4&#8243;][et_pb_video src=&#8221;https:\/\/youtu.be\/drXu2v7lfi0&#8243; _builder_version=&#8221;4.4.1&#8243; hover_enabled=&#8221;0&#8243;][\/et_pb_video][\/et_pb_column][\/et_pb_row][\/et_pb_section]\n\n\n","protected":false},"excerpt":{"rendered":"<p>Sometime back, my student asked me for help in building a calculator in Excel for pricing options using the Black-Scholes (or what they call as Black-Scholes-Merton) model. So, I thought of doing this tutorial to show how anyone with Excel can build their own BSM calculator. In the first part, I will calculate the prices [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":2400,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_et_pb_use_builder":"on","_et_pb_old_content":"","_et_gb_content_width":"1080","_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[29],"tags":[21,24,36,20,26,23,22,28,27,25],"_links":{"self":[{"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/posts\/2345"}],"collection":[{"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/comments?post=2345"}],"version-history":[{"count":0,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/posts\/2345\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/media\/2400"}],"wp:attachment":[{"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/media?parent=2345"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/categories?post=2345"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/fabianmoa.com\/wp-json\/wp\/v2\/tags?post=2345"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}