ERI's Black-Scholes Calculator

The Black Scholes Option Pricing Model determines the fair market value of European options but may also be used to value American options*. The actual formula ... LogIn Solutions LearnMoreAboutERI’sAssessorPlatform Findmarketratesforjobsbylocation,industry,andsize. TryaFreeDemo AssessorSeriesPlatform SeeOurProducts SalaryAssessor GeographicAssessor RelocationAssessor ExecutiveCompensationAssessor NonprofitComparablesAssessor OccupationalAssessor GlobalSalaryCalculator SalarySurveys AccessSalarySurveys Participate Updates What'sNew DatasetUpdates Resources ViewOurLatestWhitePaper NationalCompensationForecastOctober2021 DownloadNow HRNews WhitePapers Blog Webinars Newsletters Tools ViewOurResources CareerPlanning BardahlCalculator Black-ScholesCalculator SummaryCompensationInformation OESImmigrationWageData Form990Finder PositionAnalysisQuestionnaire(PAQ) OnlineEducation DistanceLearningCenter Webinars Glossary CompensationCourses ContinuingEducation HRResources About ERIhasbeenfocusedonresearchingcompensationforover30years Ouronlybusinessisdata. Wehavenoconflictofinterestfromconsultingorcontracting,whichallowsustostayindependentandobjective. LearnMore AboutERI WhoWeAre FAQs Testimonials What'sNew ContactUs TryaDemo LearnaboutthelatestupdatesforNorthAmericanminimumwagechangesonamonthlybasis. ReadNow ContactUs 800-627-3697 [email protected] LogIn Menu ERI'sBlack-ScholesCalculator InputData StockAssetPrice: US$ Example:"25.00" OptionStrikePrice: US$ Example:"15.00" Maturity(TimeUntilExpiration): Years Example:"3.5" Risk-FreeInterestRate: Annual% Example:".05"(for5%) Volatility: Annual% Example:".20"(for20%) ClearFields Options(FairValue) EuropeanCall: US$ EuropeanPut: US$ ExecutiveCompensationPlanningandAnalysisMadeEasy LearnMore Disclaimer:ThisBlack-ScholesCalculatorisnotintendedasabasisfortradingdecisions.Noresponsibilitywhatsoeverisassumedforitscorrectnessorsuitabilityforanygivenpurpose.Useatyourownrisk. ProvidedbyERIEconomicResearchInstitute–Yourresearchoutsourceforsalarysurvey,cost-of-livingandexecutivecompensationsurveydata. TolearnmoreabouthowtousetheBlack-Scholesmethodtoplaceavalueonstockoptions,pleaseseetheERIDistanceLearningCenteronlinecourseBlack-ScholesValuations. RelevantBlackScholesDefinitions(allvaluesarepershare) BlackScholes TheBlackScholesOptionPricingModeldeterminesthefairmarketvalueofEuropeanoptionsbutmayalsobeusedtovalueAmericanoptions*.Theactualformulacanbeviewedhere. StockAssetPrice Astock'scurrentprice,publiclytradedorestimated. OptionStrikePrice Predeterminedprice(bytheoptionwriter)atwhichanoption'sstockispurchasedorsold. Maturity(TimeUntilExpiration)* Timeremainingtotheoptionexpirationdate. Risk-FreeInterestRate Currentinterestrateofshort-datedgovernmentbondssuchasUSTreasurybills. Volatility Degreeofunpredictablechangeovertimeofanoption'sstockpriceoftenexpressedasthestandarddeviationofthestockprice. EuropeanCall* $USfairmarketvalueofanoptionexercisedatexpiration.Acalloptiongivesthebuyer(theoptionholder)therighttopurchasestocksfromtheseller(theoptionwriter)atthestrikeprice. EuropeanPut* $USfairmarketvalueofanoptionexercisedatexpiration.Aputoptiongivesthebuyer(theoptionholder)therighttosellthepurchasedstockstothewriteroftheoptionatthestrikeprice. *AEuropeanoptioncanonlybeexercisedontheexpirationdate.AnAmericanoptionmaybeexercisedatanytimeduringthelifeoftheoption.However,inmostcases,itisacceptabletovalueanAmericanoptionusingtheBlackScholesModelbecauseAmericanoptionsarerarelyexercisedbeforetheexpirationdate. × Equation ThisonlinecalculatorusestheBlack-ScholesequationforthefairvalueofaEuropeancalloption*onanon-dividendpayingstock,asfollows: AEuropeancalloptioncanonlybeexercisedonitsexpirationdate.ThisisincontrasttoAmericanoptionsthatcanbeexercisedatanytimepriortoexpiration. AEuropeanoptionisusedinordertoreducethevariablesintheequation.Thisisacceptable,sincemostU.S.companystockoptionsarenotexerciseduntiltheirexpiration(vesting)date.Why?Whenanemployeeexercisesacallearly,heorsheforfeitstheremainingtimevalueonthecallandcollectsonlytheintrinsicvalue. Close