Black-Scholes with Dividend Yield Calculator
Option Exercise Price =
Term =
Risk-Free Rate =
Dividend Yield =
Volatility =
Option Price =
D1 =
D2 =
D5 =
D6 =
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Black-Scholes is a popular method for calculating option prices. This version includes the expected dividend yield.
Rows
- Option Exercise Price: Strike price of the options.
- Term: Time to expiration in years.
- Risk-Free Rate%: Risk-free interest rate expressed as a percentage.
- Dividend Yield%: expected dividend yield over the life of the options.
- Volatility%: Annual volatility of the stock price, average movement of the stock per day over the previous year, always expressed in absolute terms (-10% would be 10% movement).
- Option Value: Theoretical option value.
Formula contributed by Stephen Bryan. Template created by Infinity Softworks.
Examples
What is the option value of a $55.33 option set to expire in 5.5 years? The risk-free rate is 2.1%, the expected dividend yield is 1.8% and the volatility is 26%.
- Option Exercise Price: 55.33
- Term: 5.5 years
- Risk-Free Rate: 2.1%
- Dividend Yield: 1.8%
- Volatility: 26%
The option is valued at $12.32.
Keywords
Option Exercise Price
Term
Risk-Free Rate
Dividend Yield
Volatility
Option Price
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black scholes
black-scholes
black sholes
black-sholes
blacksholes
blackscholes
