## Formulas and Calculations

**Black-Scholes formulas** – Explanation of Black-Scholes formulas for d1, d2, call price and put price. Step-by-step guide to calculation of option prices under the Black-Scholes model. Formulas for option Greeks (delta, gamma, theta, vega, rho).

**Black-Scholes Excel implementation** – Illustrates how the formulas above are implemented in Excel. Detailed guide how to create your own Black-Scholes Excel calculator for pricing of calls and puts.

**Black-Scholes Excel formulas for Greeks** – Second part of the above, explaining Excel implementation of Black-Scholes Greeks (delta, gamma, theta, vega, rho).

## Excel Calculators

**Black-Scholes Calculator** – Excel calculator for call and put option prices under the Black-Scholes model.

**Option Strategy Simulator** – Combining the above for multiple options. Excel calculator to price option spreads and strategies using the Black-Scholes model, simulating scenarios, calculating aggregate Black-Scholes Greeks and break-even points.

**Implied Volatility Calculator** – Excel calculator that uses the Black-Scholes option price formulas backwards to calculate implied volatility from call or put option prices.

## Black-Scholes Model Assumptions

**Black-Scholes Model Assumptions** – A list of assumptions taken by the model, with detailed explanation, confrontation with reality of the markets, and implications for practical use of the model.

## Black-Scholes Model History

**Black-Scholes Model History and Key Papers** – An overview of events and earlier research that led to the Black-Scholes model, and people who played a role in the process. From Bachelier to Nobel Prize.

## Original Papers by Black, Scholes, Merton

The Valuation of Option Contracts and a Test of Market Efficiency, Black-Scholes, 1972

The Pricing of Options and Corporate Liabilities, Black-Scholes, 1973

Theory of Rational Option Pricing, Merton, 1973