Excel Macros

Annualized Historical Volatility

Annualized historical volatility is one of the key variables in the Black-Scholes formula, and is an important determinant of the value of an option.

Black Scholes Model

The Black–Scholes model is a mathematical model of the market for an equity, in which the equity’s price is a stochastic process. The model makes the following assumptions:

* It is possible to borrow and lend cash at a known constant risk-free interest rate.
* The price of the equity follows a geometric Brownian motion with constant drift and volatility.