Background Note | HBS Case Collection | November 1984

Black-Scholes Option Pricing Program for the HP 12C Calculator

by Andre F. Perold

Abstract

Contains a program that can be used on the HP12C pocket calculator to compute the Black-Scholes option price and the associated hedge ratio. The program must be given the following parameters: the exercise price, the risk-free rate, the time to expiration, and the price and volatility of the underlying stock.

Keywords: Stock Options; Investment Funds; Price; Management; Software;

Citation:

Perold, Andre F. "Black-Scholes Option Pricing Program for the HP 12C Calculator." Harvard Business School Background Note 285-057, November 1984.