ASC 718-10-55 · Option pricing

Black-Scholes Calculator

Enter the six assumptions ASC 718 makes you disclose, plus a forfeiture estimate if you use one, and it returns the fair value per option, the total cost, and the year by year attribution.

Assumptions Edit any value

The fair value of one underlying share on the grant date. Public companies use the market price that day; private companies use a contemporaneous valuation, most often a 409A appraisal.
Fair value of underlying share
$
The amount the holder pays per share on exercise, set by the award agreement and fixed at grant.
Strike
$
The weighted-average period the options are expected to stay outstanding, not the contractual term. Derived from exercise history, or from the simplified method under SAB 107/110 for plain vanilla awards: the midpoint of the weighted-average vesting period and the contractual term.
Not contractual term ·
yrs
The annualized standard deviation of the underlying share's returns, measured over a period matching the expected term. Computed from historical closing prices, or from comparable public companies when your own history is too short.
Annualized
%
The grant-date yield on a zero-coupon U.S. Treasury whose remaining term matches the expected term. The lookup interpolates Treasury's daily constant maturity (CMT) par yield curve, which is quoted on coupon-bearing issues rather than on zeros.
Term-matched Treasury ·
%
Expected annual dividends per share over the expected term, as a percentage of the grant-date share price. Zero if no dividends are expected, and zero for a dividend-protected award.
Zero if none expected
%

Grant details

The number of shares subject to the award. Fair value per option does not change with it, so total cost scales in a straight line.
Shares underlying the award
The requisite service period the employee must complete to earn the award. This calculator spreads cost evenly across it; graded attribution would front-load it.
Straight-line service period
yrs
The annual rate at which awards are expected to be forfeited before vesting. Based on historical forfeiture experience; enter zero if you recognize forfeitures as they occur under ASU 2016-09.
Annual, pre-vest · zero if none
%

Output Updates as you type

Grant-date fair value

Single-award illustration, Black-Scholes-Merton

Weighted-average fair value per option $0.0000
Total compensation cost
Straight-line expense attribution
YearExpenseCumulative
Show the calculation

C = S·e−qT·N(d₁) − K·e−rT·N(d₂)

d₁ = [ln(S/K) + (r − q + σ²/2)T] ÷ σ√T    d₂ = d₁ − σ√T

d₁—
d₂—
N(d₁)—
N(d₂)—
Discounted share price  S·e−qT—
Discounted strike  K·e−rT—

The free workbook

The same math in Excel, carried month by month across a grant's life:

  • One grant, cliff then monthly tranches, on a monthly expense schedule
  • Estimated forfeitures trued up to actual as you enter them
  • Option activity rollforward by fiscal year
  • A one-page summary of the month you are closing

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