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Returns the value of a European call option as determined
by the Black-Scholes formula.
(Values in boldface are required; others are
StrikePrice, Years, Volatility,
The present price of the underlying security (i.e., the
stock price), before adjusting for future dividends.
Also known as "exercise price", the price at which the
underlying security may be bought or sold upon exercise
of the option.
- Years: The time
in years until the option expires. For example,
for an option that expires in one month you may enter
"1/12" or ".083". For an option that expires in
forty-five days, you may enter "45/365".
- Volatility: The
annualized estimated volatility of the underlying
security, expressed as a percentage greater than zero.
The annual risk-free rate of interest which corresponds
to a time period roughly equal to the remaining life of
the option, expressed in continuous compounding terms.
zero is assumed.
The annualized dividend yield of the underlying
security, expressed in continuous compounding terms. If
omitted, zero is assumed.
- American call options generally have the
same value as European call options.
- A good estimate for the
riskfree interest rate is the current yield on US
Treasury Bills having approximately the same duration as
the remaining life of the option.
- To estimate dividend
yield, multiply the most recent quarterly dividend by
four, then divide it by the stock price.
To install this function,
copy the entire contents of the window below into your
power4XL code module in Excel's Visual Basic editor.
For detailed instructions, see
Function Setup" page.
To copy the contents to your
clipboard, place your cursor inside the window below, then
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2006 by Fritz Dooley.
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