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  • M20 01 Black Scholes

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    JN
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    This document contains the results of a Black-Scholes model calculation for the price of a call option with various underlying stock prices. The model inputs include a risk-free rate of 5%, a time to maturity of 1 year, and a strike price of $25. It then shows the calculated values for d1, d2, the standard normal cumulative distribution function N(d1) and N(d2), and the resulting call option price for each stock price between $3 and $50.

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    Black Scholes

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    This document contains the results of a Black-Scholes model calculation for the price of a call option with various underlying stock prices. The model inputs include a risk-free rate of 5%, a time to maturity of 1 year, and a strike price of $25. It then shows the calculated values for d1, d2, the standard normal cumulative distribution function N(d1) and N(d2), and the resulting call option price for each stock price between $3 and $50.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    17 views1 page

    M20 01 Black Scholes

    Uploaded by

    JN
    This document contains the results of a Black-Scholes model calculation for the price of a call option with various underlying stock prices. The model inputs include a risk-free rate of 5%, a time to maturity of 1 year, and a strike price of $25. It then shows the calculated values for d1, d2, the standard normal cumulative distribution function N(d1) and N(d2), and the resulting call option price for each stock price between $3 and $50.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 1

    Model 20-01

    Black-Scholes Call Option Pricing


    Inputs:
    Risk-free rate = RF =
    Time to maturity (yrs) = T =
    Strike price = X =
    Std deviation = =
    Stock Price (S)
    $3.00
    $10.00
    $15.00
    $20.00
    $25.00
    $30.00
    $35.00
    $40.00
    $45.00
    $46.75
    $50.00

    5.00%
    1.00000
    $25.00
    0.1
    d1
    -20.65264
    -8.61291
    -4.55826
    -1.68144
    0.55000
    2.37322
    3.91472
    5.25004
    6.42787
    6.80938
    7.48147

    d2
    -20.75264
    -8.71291
    -4.65826
    -1.78144
    0.45000
    2.27322
    3.81472
    5.15004
    6.32787
    6.70938
    7.38147

    N(d1)
    0.00000
    0.00000
    0.00000
    0.04634
    0.70884
    0.99118
    0.99995
    1.00000
    1.00000
    1.00000
    1.00000

    N(d2)
    0.00000
    0.00000
    0.00000
    0.03742
    0.67364
    0.98849
    0.99993
    1.00000
    1.00000
    1.00000
    1.00000

    Call Price (C)


    $0.00
    $0.00
    $0.00
    $0.04
    $1.70
    $6.23
    $11.22
    $16.22
    $21.22
    $22.97
    $26.22

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