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  • Nifty 11752 Volatility 6.43% Expected Price 14000 Mean 1.00% Expected Return Variable 19.13% Standard Normal 2.82 Prob of 0.24%

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    Akshay
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    The document provides information about options pricing including the current stock price, strike price, interest rate, time to expiration, and volatility. It then calculates the d1 and d2 values used in the Black-Scholes model and the probabilities associated with those values. Finally, it provides the call and put option prices based on the model inputs and calculations.

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    20-04-2019

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    20-04-2019 (2)

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    The document provides information about options pricing including the current stock price, strike price, interest rate, time to expiration, and volatility. It then calculates the d1 and d2 values used in the Black-Scholes model and the probabilities associated with those values. Finally, it provides the call and put option prices based on the model inputs and calculations.

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    © All Rights Reserved
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    7 views3 pages

    Nifty 11752 Volatility 6.43% Expected Price 14000 Mean 1.00% Expected Return Variable 19.13% Standard Normal 2.82 Prob of 0.24%

    Uploaded by

    Akshay
    The document provides information about options pricing including the current stock price, strike price, interest rate, time to expiration, and volatility. It then calculates the d1 and d2 values used in the Black-Scholes model and the probabilities associated with those values. Finally, it provides the call and put option prices based on the model inputs and calculations.

    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 3

    Nifty 11752

    Volatility 6.43% Expected Price 14000


    Mean 1.00%
    Expected Return Variable 19.13%
    Standard Normal 2.82
    Prob of < 99.76%
    Prob of > 0.24%
    Spot 120 Time = No of days to expiry/265 that is no of working days
    Strike 80
    IR 10%
    Sigma 15.00%
    Time 10

    d1 3.200151
    d2 2.72581

    N(d1) 0.999313
    N(d2) 0.996793

    Call 90.58162
    Put
    o of working days

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