Black Scholes valuation calculator

This is the theoretical share price on a “per share” basis, and is the prevalent market value of the shares at the time of valuation. This does not necessarily have to be the actual price today, you can experiment to see how the share price would affect the option value.

This is the cost of exercising one option into one share, on a “per share” basis.

This is the estimated time until a liquidity event. An example of this would be an Exit or Sale.

The total number of shares in the option-holding being valued.

We have selected 1% as a placeholder. This changes frequently, and would depend on the time to Exit. See here for current yield rates for UK Government Gilts, often used as a benchmark for this input.

We have selected 35% as a placeholder. Volatility is a measure of variation in share price. For private companies whose shares do not have an active market and are not readily traded, volatility is usually benchmarked against a handful of listed companies which operate in a similar sector. Volatility is typically higher for younger companies, high-risk industries, and high growth sectors.