Author: Alain Mercier

Differences with the previous version (v1.1):

- Adding put valuation
- Adding iota and epsilon derivatives
- Correction in the vega formula



Program: The Black and Scholes spreadsheet

Black v2.0  is a freeware program for the evaluation of a stock option using the Black and 
Scholes model ajusted for dividend.  It gives the option value, delta, gamma, vega, theta 
iota and epsilon for call and put.  This is an Excel 4 sheet and it can 
evaluate call and put stock option.  

The variables you need to input in the spreadsheet are the following :

Name of the variable				Column and cell

Riskless rate						F2
Company name (optional)					A6
Stock price						B6
Strike price						C6
Expiration date						D6	
Annual Standard deviation				G6
Annual dividend						H6



Enter these variables just like the example given in the spreadsheet and that it.  All 
the other values needed for the evaluation are calculated by the spreadsheet.

The various derivatives that the Balck and Scholes model provides give us 
the variation in the option value for a variation of one unit in a specific 
element. In this spreadsheet here is their name an what they mean:

Name	Definition
----    ------------
delta	Give the variation in the option value for a variation of one unit(1 $) in the price of the underlying stock.
gamma	Give the variation in delta for a variation of one unit(1$) in the price of the underlying stock. 
theta	Give the variation in the option value for a variation of one unit(1 day) in the time to expiration of the option. 
vega*	Give the variation in the option value for a variation of one unit(1 %) in the standard deviation of the option. 
iota	Give the variation in the option value for a variation of one unit(1 %) in the riskless rate. 
epsilon	Give the variation in the option value for a variation of one unit(1 $) in the strike price of the option. 



* vega is also called eta, kappa, omega as well as epsilon in the litterature.
Be cautious: Epsilon in this spreadsheet refer to the variation in the strike price.


To calculate the implied volatility of a stock go to the option value cell 
and use the Gold Seek item under the Tool menu in Excel. 
 

For more information on the Black and Scholes model please refer to any good 
finance book.

This spreadsheet is freely distributable.

Thanks for using my program !

Agreement
NO WARRANTY: This software claims no warranty, implied or otherwise.  This 
software is provided "AS IS". IF YOU DESAGREE DONT USE IT. 

NO LIABILITY FOR CONSEQUENTIAL DAMAGES: IN NO EVENT SHALL THE 
AUTHOR BE LIABLE FOR ANY DAMAGES WHATOVER (INCLUDING, 
WITHOUT LIMITATION, DAMAGES FOR LOSS OF BUSINESS PROFIT, 
BUSINESS INTERRUPTION, LOSS OF BUSINESS INFORMATION, OR OTHER 
PECUNIARY LOSS) ARISING OUT OF THE USE OF OR INABILITY TO USE 
THIS PRODUCT.




