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  • Larry Steffen-Valuing Stock Options in A Compensation Package

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    Abhinandan Singh
    871 views4 pages
    The document contains information about valuing stock options using the Black-Scholes model over a 5 year time period, including the stock price, exercise price of the option, risk-free interest rate, and standard deviation. It also includes sample output data from the Black-Scholes calculator like the present value of the exercise price, value of the call and put options, and maturity yields for different time periods. The goal is to calculate the total value and taxes to be paid on exercising the stock options.

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    Larry Steffen-Valuing Stock Options in a Compensation Package Business Analysis and Valuation

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    Larry Steffen-Valuing Stock Options in a Compensation Package

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    The document contains information about valuing stock options using the Black-Scholes model over a 5 year time period, including the stock price, exercise price of the option, risk-free interest rate, and standard deviation. It also includes sample output data from the Black-Scholes calculator like the present value of the exercise price, value of the call and put options, and maturity yields for different time periods. The goal is to calculate the total value and taxes to be paid on exercising the stock options.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    871 views4 pages

    Larry Steffen-Valuing Stock Options in A Compensation Package

    Uploaded by

    Abhinandan Singh
    The document contains information about valuing stock options using the Black-Scholes model over a 5 year time period, including the stock price, exercise price of the option, risk-free interest rate, and standard deviation. It also includes sample output data from the Black-Scholes calculator like the present value of the exercise price, value of the call and put options, and maturity yields for different time periods. The goal is to calculate the total value and taxes to be paid on exercising the stock options.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 4

    No of Shares 5000 Time Period

    Valuation of Stock Option using Black Scholes Model 5 Years

    Excerise Price Premium Net Exercise Price Final Call Price


    $20
    $21
    $22
    $23
    $24
    $25

    Stock Options Total


    Value #VALUE!
    Taxes to be paid #VALUE!
    Net Realization #VALUE!
    Time Period Income Type Taxes%
    7 Years 10 Years Cash Ordinary Income 28%

    Long term capital


    Final Call Price 20000 gains 15%

    5600
    14400
    Black-Scholes Calculator

    Input Data
    Stock Price now (P) 22.71
    Exercise Price of Option (EX) 22.74
    Number of periods to Exercise in years (t) 5
    Compounded Risk-Free Interest Rate (rf) 1.02%
    Standard Deviation (annualized s) 30.00%

    Output Data
    Present Value of Exercise Price (PV(EX)) 21.6093
    s*t^.5 0.6708
    d1 0.4095
    d2 -0.2614
    Delta N(d1) Normal Cumulative Density Function 0.6589
    Bank Loan N(d2)*PV(EX) 8.5770

    Value of Call 6.3867


    Value of Put 5.2860
    Maturity Yields
    1 month 0.04%
    3 months 0.05%
    6 months 0.08%
    1 year 0.14%
    2 years 0.30%
    3 years 0.49%
    5 years 1.02%
    7 years 1.51%
    10 years 2.13%
    20 years 2.91%
    30 years 3.27%

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