Exercise 1

Black-Scholes option pricing formula

S 50 current stock price
X 50 exercise price
r 10.00% risk-free rate of interest
T 0.5 time to maturity of option (in years)
Sigma 25% stock volatility

d1 0.3712 #VALUE!
d2 0.1945 #VALUE!

N(d1) 0.6448 #VALUE!

N(d2) 0.5771 #VALUE!

call price 4.79 #VALUE!

put price 2.35 #VALUE!

Page 1
 Exercise 1 中文

布莱克-斯科尔斯期权定价公式
S 50 当前的股票价格
X 50 执行价格
r 10.00% 无风险利率
T 0.5 期权到期时间 (年)
Sigma 25% 股票波动性

d1 0.3712 #VALUE!
d2 0.1945 #VALUE!

N(d1) 0.6448 #VALUE!

N(d2) 0.5771 #VALUE!

看涨期权价格 4.79 #VALUE!

看跌期权价格 2.35 #VALUE!

Page 2
 Exercise 2

Black-Scholes option pricing formula

S 50 current stock price
X 50 exercise price
r 10.00% risk-free rate of interest
T 0.5 time to maturity of option (in years)
Sigma 25% stock volatility

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- Uses formula NormSDist(d1)

N(d2) 0.5771 <--- Uses formula NormSDist(d2)

call price 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

put price 2.35 <-- call price - S + X*Exp(-r*T): by Put-Call parity
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): direct formula

Below: Data tables for the sensitivities

Sensitivity of Call Price to Initial Stock Price
4.79
36 0.179581 Sensitvity of Call Price to Stock Price
38 0.363892
40 0.6663 18
42 1.11982 16
44 1.750285 14
46 2.572536 12
48 3.589079
Call Price

10
50 4.791118 8
52 6.161241
6
54 7.676806
4
56 9.313178
2
58 11.04632
60 12.85451 0
62 14.71926 34 39 44 49 54 59 64

64 16.62554 Stock Price

Sensitivity of Put Price to Sigma

2.35
10.0% 0.486608 Sensitivty of Put Price to Sigma
12.5% 0.768049
15.0% 1.068704 5
17.5% 1.380869 4.5
20.0% 1.700373 4
22.5% 2.024784 3.5
25.0% 2.352589 3
Put Price

27.5% 2.682794 2.5

30.0% 3.014721 2
1.5
1
0.5
0 Page 3
5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0%
Sigma
 4.5
4
3.5
3
Exercise 2

Put Price
2.5
2
32.5% 3.347887 1.5

35.0% 3.681935 1

37.5% 4.016598 0.5

0
40.0% 4.351665
5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0%
Sigma

Sensitivity of Call Price to time to Maturity

4.79
0.2 2.737138 Sensitivity of Call Price to Time to Maturity
0.3 3.49194
0.4 4.167227 10
0.5 4.791118 9
0.6 5.377988 8
0.7 5.936352 7

0.8 6.471744 6
Call Price

0.9 6.987997 5

1 7.487895 4

1.1 7.973537 3

1.2 8.446548 2
1
1.3 8.908222
0
1.4 9.359606
0.4 0.6 0.8 1 1.2 1.4 1.6
Time to Maturity

Sensitivity of Call Price to Interest Rate

4.79
5% 4.130008 Sensitivity of Call Price to Interest Rate
6% 4.258129
7% 4.388333 6.5
8% 4.520588
6
9% 4.654861
10% 4.791118 5.5
11% 4.929321
5
Call Price

12% 5.069433
13% 5.211414 4.5
14% 5.355222
4
15% 5.500816
16% 5.648151 3.5
17% 5.797181
18% 5.947862 3
5% 7% 9% 11% 13% 15% 17% 19%
Interest Rate (r)

Sensitivity of Put Price to exercise Price

2.35
Sensitvity of Put Price to Exercise Price

14
Page 4
12

10
 Exercise 2

38 0.097823 Sensitvity of Put Price to Exercise Price

40 0.203136
42 0.382945 14
44 0.664472
12
46 1.07369
48 1.6318 10
50 2.352589
8

Put Price
52 3.241179
54 4.294238 6
56 5.50134 4
58 6.846984
60 8.312792 2
62 9.879489 0
64 11.52845 38 43 48 53 58 63 68
Exercise Price (X)

Page 5
 Exercise 2

64

Page 6
45.0%
 Exercise 2

45.0%

1.6

19%

Page 7
 Exercise 2

68

Page 8
 Exercise 2 中文

布莱克-斯科尔斯期权定价公式
S 50 当前股票价格
X 50 执行价格
r 10.00% 无风险利率
T 0.5 期权到期时间爱(年)
Sigma 25% 股票波动性

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- 使用公式 NormSDist(d1)

N(d2) 0.5771 <--- 使用公式 NormSDist(d2)

看涨期权价格 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

看跌期权价格 2.35 <-- 看涨期权价格 - S + X*Exp(-r*T): 通过看跌-看涨期权平价
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): 直接公式

下面: 敏感性的模拟运算表
看涨期权价格对初始股票价格的敏感性
4.79
36 0.179581 看涨期权价格对股票价格的敏感性
38 0.363892
40 0.6663 18
42 1.11982 16
44 1.750285 14
46 2.572536 12
看涨期权价格

48 3.589079 10
50 4.791118 8
52 6.161241
6
54 7.676806
4
56 9.313178
2
58 11.04632
60 12.85451 0
62 14.71926 34 39 44 49 54 59 64

64 16.62554 股票价格

看跌期权价格对Sigma的敏感性
2.35
10.0% 0.486608 看跌期权价格对 Sigma 的敏感性
12.5% 0.768049
15.0% 1.068704 5
17.5% 1.380869 4.5
20.0% 1.700373 4
22.5% 2.024784 3.5
看跌期权价格

25.0% 2.352589 3
27.5% 2.682794 2.5
30.0% 3.014721 2
1.5
1
0.5
0 Page 9
5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0%
Sigma
 4.5
4
3.5

看跌期权价格
3
Exercise 2 中文
2.5
2
32.5% 3.347887 1.5

35.0% 3.681935 1

37.5% 4.016598 0.5

0
40.0% 4.351665
5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0%
Sigma

看涨期权价格对到期时间的敏感性
4.79
0.2 2.737138 看涨期权价格对到期时间的敏感性
0.3 3.49194
0.4 4.167227 10
0.5 4.791118 9
0.6 5.377988 8
0.7 5.936352 7
看涨期权价格

0.8 6.471744 6

0.9 6.987997 5

1 7.487895 4

1.1 7.973537 3

1.2 8.446548 2
1
1.3 8.908222
0
1.4 9.359606
0.4 0.6 0.8 1 1.2 1.4 1.6

到期时间

看涨期权价格对利率的敏感性
4.79
5% 4.130008 看涨期权价格对利率的敏感性
6% 4.258129
7% 4.388333 6.5
8% 4.520588
6
9% 4.654861
10% 4.791118 5.5
11% 4.929321
看涨期权价格

5
12% 5.069433
13% 5.211414 4.5
14% 5.355222
4
15% 5.500816
16% 5.648151 3.5
17% 5.797181
18% 5.947862 3
5% 7% 9% 11% 13% 15% 17% 19%
利率 (r)

看跌期权价格对执行价格的敏感性
2.35
看跌期权价格对执行价格的敏感性

14
Page 10
12

10
 Exercise 2 中文

38 0.097823 看跌期权价格对执行价格的敏感性
40 0.203136
42 0.382945 14
44 0.664472
12
46 1.07369
48 1.6318 10
50 2.352589

看跌期权价格
8
52 3.241179
54 4.294238 6
56 5.50134 4
58 6.846984
60 8.312792 2
62 9.879489 0
64 11.52845 38 43 48 53 58 63 68
执行价格 (X)

Page 11
 Exercise 2 中文

64

Page 12
45.0%
 Exercise 2 中文

45.0%

1.6

19%

Page 13
 Exercise 2 中文

68

Page 14
 Exercise 3

Black-Scholes option pricing formula

S 50 current stock price
X 50 exercise price
r 10.00% risk-free rate of interest
T 0.5 time to maturity of option (in years)
Sigma 25% stock volatility

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- Uses formula NormSDist(d1)

N(d2) 0.5771 <--- Uses formula NormSDist(d2)

call price 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

put price 2.35 <-- call price - S + X*Exp(-r*T): by Put-Call parity
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): direct formula

Stock B-S Intrinsic

Price Value Value
4.79
36 0.1796 0
38 0.3639 0
Intrinsic Value vs. B-S Value
40 0.6663 0
42 1.1198 0
25
44 1.7503 0
46 2.5725 0
20
48 3.5891 0
50 4.7911 0
15
52 6.1612 2
Call Price

54 7.6768 4
10
56 9.3132 6
58 11.0463 8
60 12.8545 10 5

62 14.7193 12
64 16.6255 14 0
34 39 44 49 54 59 64 69
66 18.5616 16
68 20.5187 18 Stock Price

Page 15
 Exercise 3

Why no early exercise?

The intrinsic value is always below
the Black-Scholes value; hence, it
is always better to sell the option (thus
realizing the BS value) than to exercise
it early (in which case you would get
the intrinsic value.

64 69

Page 16
 Exercise 3 中文

布莱克-斯科尔斯期权定价公式
S 50 当前的股票价格
X 50 执行价格
r 10.00% 无风险利率
T 0.5 期权的到期时间(年)
Sigma 25% 股票的波动性

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- 使用公式 NormSDist(d1)

N(d2) 0.5771 <--- 使用公式 NormSDist(d2)

看涨期权价格 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

看跌期权价格 2.35 <-- 看涨期权价格 - S + X*Exp(-r*T): 用看跌-看涨期权平价
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): 直接公式

股票 布莱克-斯科尔斯 内在
价格 价值 价值
4.79
36 0.1796 0
38 0.3639 0
40 0.6663 0 内在价值 vs. 布莱克 - 斯科尔斯价值
42 1.1198 0
25
44 1.7503 0
46 2.5725 0
20
48 3.5891 0
50 4.7911 0
看涨期权价格

15
52 6.1612 2
54 7.6768 4
10
56 9.3132 6
58 11.0463 8
60 12.8545 10 5

62 14.7193 12
64 16.6255 14 0
34 39 44 49 54 59 64
66 18.5616 16
68 20.5187 18 股票价格

Page 17
 Exercise 3 中文

为什么不提前执行?
内下价值常常在
布莱克-斯科尔斯价值下方;因此,
卖出期权往往好于 (意识到
布莱克 - 斯科尔斯价值 布莱克-斯科尔斯价值)提前执行
(在这种情况下你将得到内在价值）

49 54 59 64 69

股票价格

Page 18
 Exercise 4

Black-Scholes option pricing formula

S 50 current stock price
X 50 exercise price
r 10.00% risk-free rate of interest
T 0.5 time to maturity of option (in years)
sigma 25% stock volatility

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- Uses formula NormSDist(d1)

N(d2) 0.5771 <--- Uses formula NormSDist(d2)

call price 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

put price 2.35 <-- call price - S + X*Exp(-r*T): by Put-Call parity
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): direct formula

Stock B-S Intrinsic

Price Value Value Intrinisic Value vs. B-S Value on Put Price
2.35
36 11.7411 14 14
38 9.9254 12
12
40 8.2278 10
42 6.6813 8 10
44 5.3118 6 8
Put Price

46 4.1340 4
6
48 3.1506 2
50 2.3526 0 4
52 1.7227 0
2
54 1.2383 0
56 0.8746 0 0
58 0.6078 0 36 41 46 51 56 61 66 71

60 0.4160 0 Stock Price (S)

62 0.2807 0
64 0.1870 0 When the stock price is low, the B-S value is less than the
66 0.1231 0 intrinsic value. If we could exercise early, the option would
68 0.0802 0 have increased value. Hence: Early exercise may be valuable
for puts.

Page 19
 Exercise 4

71

Page 20
 Exercise 4 中文

布莱克-斯科尔斯期权定价公式
S 50 当前的股票价格
X 50 执行价格
r 10.00% 无风险利率
T 0.5 期权到期时间 (年)
sigma 25% 股票的波动性

d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- 使用公式 NormSDist(d1)

N(d2) 0.5771 <--- 使用公式 NormSDist(d2)

看涨期权价格 4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)

看跌期权价格 2.35 <--看涨期权价格 - S + X*Exp(-r*T): 通过看跌-看涨期权平价
2.35 <-- X*exp(-r*T)*N(-d2)-S*N(d1): 直接公式

股票 布莱克-斯科尔斯 内在
价格 价值 价值 在看跌期权价格上的内在价值 vs. 布莱克 - 斯科尔斯价值
2.35
36 11.7411 14 14
38 9.9254 12
12
40 8.2278 10
42 6.6813 8 10
看跌期权价格

44 5.3118 6 8
46 4.1340 4
6
48 3.1506 2
50 2.3526 0 4
52 1.7227 0
2
54 1.2383 0
56 0.8746 0 0
58 0.6078 0 36 41 46 51 56 61 66 71

60 0.4160 0 股票价格 (S)

62 0.2807 0
64 0.1870 0 当股票价格较低时, 布莱克-斯科尔斯价值小于
66 0.1231 0 内在价值. 如果我们提前执行，期权早就
68 0.0802 0 增加价值. 如此: 对于看跌期权来说，提前执行可能更有价值

Page 21
 Exercise 4 中文

克 - 斯科尔斯价值

61 66 71

行可能更有价值

Page 22
 A B C D E F G
1 AMR OPTIONS
2 Stock price 27.82
3 Current date 12-Jul-07
4 Expiration date 16-Nov-07
5 Time to maturity, 0.35 #VALUE!
6 Interest 5%
7
Put
Call option Implied
8 Strike Implied volatility Strike option
price volatility
price
9 15.0 13.50 15.0 0.15
10 17.5 10.40 17.5 0.25
11 20.0 8.40 20.0 0.55
12 22.5 7.20 22.5 1.06
13 25.0 4.90 25.0 1.90
14 27.5 3.30 27.5 2.95
15 30.0 2.30 30.0 4.30
16 32.5 1.65 32.5 6.10
17 35.0 1.00 35.0 7.40
18 37.5 0.70 37.5 9.60
19 40.0 0.45 40.0 12.70
20 45.0 0.25
21 50.0 0.05
 A B C D E F G
1 AMR 期权
2 股票价格 27.82
3 当前日 12-Jul-07
4 到期日 16-Nov-07
5 到期时间, T 0.35 #VALUE!
6 利率 5%
7
8 看涨期权价 看涨期权 隐含波动
协议价格 隐含波动性 协议价格
格 价格 性
9 15.0 13.50 15.0 0.15
10 17.5 10.40 17.5 0.25
11 20.0 8.40 20.0 0.55
12 22.5 7.20 22.5 1.06
13 25.0 4.90 25.0 1.90
14 27.5 3.30 27.5 2.95
15 30.0 2.30 30.0 4.30
16 32.5 1.65 32.5 6.10
17 35.0 1.00 35.0 7.40
18 37.5 0.70 37.5 9.60
19 40.0 0.45 40.0 12.70
20 45.0 0.25
21 50.0 0.05
 A B C D
1 AMR OPTIONS
2 Stock price 27.82
3 Current date 12-Jul-07
4 Expiration date 16-Nov-07
5 Time to maturity, 0.35 #VALUE!
6 Interest 5%
7 1200.00% Call Option Implied Vola
Option
8 Strike Implied volatility
price
1000.00%
9 15 13.5 #VALUE! #VALUE!
10 17.5 10.4 #VALUE!
11 20 8.4 #VALUE! 800.00%
12 22.5 7.2 #VALUE!
13 25 4.9 #VALUE! 600.00%
14 27.5 3.3 #VALUE!
15 30 2.3 #VALUE!
400.00%
16 32.5 1.65 #VALUE!
17 35 1 #VALUE!
18 37.5 0.7 #VALUE! 200.00%

19 40 0.45 #VALUE!
20 45 0.25 #VALUE! 0.00%
21 50 0.05 #VALUE! 15 20 25 30 35
22 Strike
23 PUT OPTIONS
24
Option
25 Strike Implied volatility 1200.00%
price
26 15 0.15 #VALUE! #VALUE!
27 17.5 0.25 #VALUE! 1000.00%
28 20 0.55 #VALUE!
29 22.5 1.06 #VALUE! 800.00%
30 25 1.9 #VALUE!
31 27.5 2.95 #VALUE!
600.00%
32 30 4.3 #VALUE!
33 32.5 6.1 #VALUE!
34 35 7.4 #VALUE! 400.00%
35 37.5 9.6 #VALUE!
36 40 12.7 #VALUE! 200.00%
37
38
0.00%
39
15 20 25 3
40
41
42 There is basically no "smile".
 E F G H I
1
2
3
4
5
6
Call
7 Option Implied Volatility
8
9
10
11
12
13
14
15
16
17
18
19
20
20 2125 30 35 40 45 50
22 Strike
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
20 25 30 35 40
40
41
42
 A B C D
1 AMR OPTIONS
2 股票价格 27.82
3 当前日期 12-Jul-07
4 到期日 16-Nov-07
5 到期时间, T 0.35 #VALUE!
6 利率 5%
7 1200.00% 看涨期权的隐含波动性
8 协议价格 期权价格 隐含波动性
9 15 13.5 #VALUE! #VALUE!
1000.00%
10 17.5 10.4 #VALUE!
11 20 8.4 #VALUE!
800.00%
12 22.5 7.2 #VALUE!
13 25 4.9 #VALUE!
600.00%
14 27.5 3.3 #VALUE!
15 30 2.3 #VALUE!
16 32.5 1.65 #VALUE! 400.00%

17 35 1 #VALUE!
18 37.5 0.7 #VALUE! 200.00%
19 40 0.45 #VALUE!
20 45 0.25 #VALUE! 0.00%
21 50 0.05 #VALUE! 15 20 25 30 35
22 协议价格
23 看跌期权
24
25 协议价格 期权价格 隐含波动性
1200.00%
26 15 0.15 #VALUE! #VALUE!
27 17.5 0.25 #VALUE!
20 0.55 #VALUE! 1000.00%
28
29 22.5 1.06 #VALUE!
30 25 1.9 #VALUE! 800.00%
31 27.5 2.95 #VALUE!
32 30 4.3 #VALUE! 600.00%
33 32.5 6.1 #VALUE!
34 35 7.4 #VALUE! 400.00%
35 37.5 9.6 #VALUE!
36 40 12.7 #VALUE!
200.00%
37
38
0.00%
39
15 20 25 3
40
41
42 基本没有 "微笑".
 E F G H I
1
2
3
4
5
6
7 看涨期权的隐含波动性
8
9
10
11
12
13
14
15
16
17
18
19
20
20 2125 30 35 40 45 50
22 协议价格
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
20 25 30 35 40
40
41
42
 A B C D
1 AMR OPTIONS
2 Stock price 27.82
3 Current date 12-Jul-07
4 Expiration date 16-Nov-07
5 Time to maturity, 0.35 #VALUE!
6 Interest 5%
7
Option
8 Strike Implied volatility
price
9 15 13.5 #VALUE! #VALUE!
10 17.5 10.4 #VALUE!
11 20 8.4 #VALUE!
12
Volatility for
13 Call price
X=17.5 call
14 40% #VALUE! #VALUE!
15 45% #VALUE!
16 50% #VALUE!
17 55% #VALUE!
18 60% #VALUE!
19 65% #VALUE!
20 70% #VALUE!
21
22
23 a. The call price for the X=17.5 call is too low, which is why the function gives 0% as implied.
24 Note, however, that in order for call price convexity to be preserved, the price of the X=17.5
25 call < (13.5 + 8.4)/2 = 10.95
26
27 s
 A B C D
1 AMR 期权
2 股票价格 27.82
3 当前日 12-Jul-07
4 到期日 16-Nov-07
5 到期时间, T 0.35 #VALUE!
6 利率 5%
7
8 协议价格 期权价格 隐含波动性
9 15 13.5 #VALUE! #VALUE!
10 17.5 10.4 #VALUE!
11 20 8.4 #VALUE!
12
13 X=17.5看涨期权 看涨期权价格
的波动性
14 40% #VALUE! #VALUE!
15 45% #VALUE!
16 50% #VALUE!
17 55% #VALUE!
18 60% #VALUE!
19 65% #VALUE!
20 70% #VALUE!
21
22
23 a. X=17.5的看涨期权的价格太低了，这便是函数得出的隐含波动性为0%的原因。
24 然而,注意为了保持看涨期权的凸性, X=17.5的看涨期权的价格<(13.5 + 8.4)/2 = 10.95
25
26
27 s
 Exercise 7

Black-Scholes option pricing formula

S 45 current stock price Data table

X 45 exercise price
r 8.00% risk-free rate of interest
T 1 time to maturity of option (in years)
sigma 40% stock volatility
d1 0.4000 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) 35
d2 0.0000 <-- d1 - sigma*SQRT(T) 40
45
N(d1) 0.6554 <--- Uses formula NormSDist(d1) 50
N(d2) 0.5000 <--- Uses formula NormSDist(d2) 55
60
call price 8.72 <-- S*N(d1)-X*exp(-r*T)*N(d2) 65
70
Intrinsic value 0 75
B-S minus intrinsic 8.72 Black-Scholes Price Minus Intrinsic Value 80
85
10.00
90
9.00
8.00
95
7.00
Difference ($)

6.00
5.00
4.00
3.00
2.00 Stock price
1.00
0.00
35 40 45 50 55 60 65 70 75 80 85 90 95

The maximum is obtained when S = X.

Page 31
 Exercise 7

B-S
minus
Intrinsic
<-- Header hidden
3.34
5.72
8.72
7.24
6.15
5.37
4.81
4.42
4.14
3.94
3.80
3.70
3.63

Page 32
 Exercise 7 中文

布莱克-斯科尔斯期权定价公式

S 45 当前股票价格 模拟运算表
X 45 执行价格 布莱克
r 8.00% 无风险利率
T 1 期权到期时间 (年)
sigma 40% 股票波动性
d1 0.4000 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) 35
d2 0.0000 <-- d1 - sigma*SQRT(T) 40
45
N(d1) 0.6554 <--- 使用公式 NormSDist(d1) 50
N(d2) 0.5000 <--- 使用公式 NormSDist(d2) 55
60
看涨期权价格 8.72 <-- S*N(d1)-X*exp(-r*T)*N(d2) 65
70
内在价值 0 75
8.72
布莱克-斯科尔斯价值减去内在价值 布莱克 - 斯科尔斯价值减去内在价值 80
85
10.00
90
9.00
8.00
95
7.00
6.00
差值 ($)

5.00
4.00
3.00
2.00 股票价格
1.00
0.00
35 40 45 50 55 60 65 70 75 80 85 90 95

最大值在S = X时得到.

Page 33
 Exercise 7 中文

模拟运算表
布莱克-斯科尔斯价值
减去
内在价格
<-- 表头隐藏
3.34
5.72
8.72
7.24
6.15
5.37
4.81
4.42
4.14
3.94
3.80
3.70
3.63

Page 34
 Exercise 8

Merton's Dividend-Adjusted Option Pricing Model

S 1500 current stock price
X 1500 exercise price
r 7.00% risk-free rate of interest
k 2.20% dividend yield
T 1 time to maturity of option (in years)
sigma 20% stock volatility
d1 0.3400 <--(LN(S/X)+(r-k+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1400 <-- d1 - sigma*SQRT(T)

N(d1) 0.6331 <--- Uses formula NormSDist(d1)

N(d2) 0.5557 <--- Uses formula NormSDist(d2)

call price 151.79 <-- S*Exp(-k*T)*N(d1)-X*exp(-r*T)*N(d2)

put price 83.02 <-- call price - S*Exp(-k*T) + X*Exp(-r*T): by Put-Call parity
83.02 <-- X*exp(-r*T)*N(-d2)-S*Exp(-k*T)*N(-d1): direct formula

New functions defined

Merton call #VALUE! #VALUE!
Merton put #VALUE! #VALUE!

Page 35
 Exercise 8

Function MdOne(Stock, Exercise, Time, Interest, Dividend, Sigma)

MdOne = (Log(Stock / Exercise) + (Interest - Dividend + Sigma ^ 2 / 2) * Time) / (Sigma * Sqr(Time))
End Function

Function MdTwo(Stock, Exercise, Time, Interest, Dividend, Sigma)

MdTwo = MdOne(Stock, Exercise, Time, Interest, Dividend, Sigma) - Sigma * Sqr(Time)
End Function

Function MertonCall(Stock, Exercise, Time, Interest, Dividend, Sigma)

MertonCall = Stock * Exp(-Dividend * Time) * Application.NormSDist(MdOne(Stock, Exercise, _
Time, Interest, Dividend, Sigma)) - Exercise * Exp(-Time * Interest) _
* Application.NormSDist(MdTwo(Stock, Exercise, Time, Interest, Dividend, Sigma))
End Function

'Put pricing function uses put-call parity theorem

Function MertonPut(Stock, Exercise, Time, Interest, Dividend, Sigma)
MertonPut = MertonCall(Stock, Exercise, Time, Interest, Dividend, Sigma) _
+ Exercise * Exp(-Interest * Time) - Stock * Exp(-Dividend * Time)
End Function

Page 36
 Exercise 8 中文

Merton股利调整期权定价模型
S 1500 当前股票价值
X 1500 执行价格
r 7.00% 无风险利率
k 2.20% 股息率
T 1 期权到期时间 (年)
sigma 20% 股票波动性
d1 0.3400 <--(LN(S/X)+(r-k+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1400 <-- d1 - sigma*SQRT(T)

N(d1) 0.6331 <--- 使用公式 NormSDist(d1)

N(d2) 0.5557 <--- 使用公式 NormSDist(d2)

看涨期权价格 151.79 <-- S*Exp(-k*T)*N(d1)-X*exp(-r*T)*N(d2)

看跌期权价格 83.02 <-- call price - S*Exp(-k*T) + X*Exp(-r*T): 用看跌-看涨平价
83.02 <-- X*exp(-r*T)*N(-d2)-S*Exp(-k*T)*N(-d1): 直接公式

定义新函数
Merton看涨期权 #VALUE! #VALUE!
Merton看跌期权 #VALUE! #VALUE!

Page 37
 Exercise 8 中文

Function MdOne(Stock, Exercise, Time, Interest, Dividend, Sigma)

MdOne = (Log(Stock / Exercise) + (Interest - Dividend + Sigma ^ 2 / 2) * Time) / (Sigma * Sqr(Time))
End Function

Function MdTwo(Stock, Exercise, Time, Interest, Dividend, Sigma)

MdTwo = MdOne(Stock, Exercise, Time, Interest, Dividend, Sigma) - Sigma * Sqr(Time)
End Function

Function MertonCall(Stock, Exercise, Time, Interest, Dividend, Sigma)

MertonCall = Stock * Exp(-Dividend * Time) * Application.NormSDist(MdOne(Stock, Exercise, _
Time, Interest, Dividend, Sigma)) - Exercise * Exp(-Time * Interest) _
* Application.NormSDist(MdTwo(Stock, Exercise, Time, Interest, Dividend, Sigma))
End Function

'Put pricing function uses put-call parity theorem

Function MertonPut(Stock, Exercise, Time, Interest, Dividend, Sigma)
MertonPut = MertonCall(Stock, Exercise, Time, Interest, Dividend, Sigma) _
+ Exercise * Exp(-Interest * Time) - Stock * Exp(-Dividend * Time)
End Function

Page 38
 A B
1 Pricing Currency Options
2 S 1.3786
3 X 1.3700
4 rUS 5.00%
5 r€ 4.50%
6 Current date 12-Jul-07
7 Option expiration date 20-Dec-07
8 T 0.44110
9 Sigma 6.00%
10
11 d1 0.2323
12 d2 0.1925
13
14 Number of Euros per call contract 10,000
15
16 N(d1) 0.5919
17 N(d2) 0.5763
18
19 Call price 275.69
20 Put price 161.79
21
22 Using the functions defined in Exercise 8
23 Call #VALUE!
24 Put #VALUE!
 C D E F
Pricing
1 Currency Options
2 Current exchange rate: U.S. dollar price of one Euro Intuition: The underlying asset of the curre
3 Exercise price option is a Euro. The Euro pays a dividend
4 U.S. interest rate which is the Euro interest rate. Therefore th
Merton model applies, with the underlying a
5 Euro interest rate
price being S*exp(-r€*T), where r€ is the inte
6
rate on Euros. Note also the change in d1,
7
rUS -r€ appears instead of rUS as in the regula
8 #VALUE!
Euro volatility Black-Scholes formula.
9
10
11 <--(LN(S/X)+(rUS-r€+0.5*sigma^2)*T)/(sigma*SQRT(T))
12 <-- d1 - sigma*SQRT(T)
13
14
15
16 <--- Uses formula NormSDist(d1)
17 <--- Uses formula NormSDist(d2)
18
19 <-- (S*Exp(-r€*T)*N(d1)-X*exp(-rUS*T)*N(d2))*B12
20 <-- (X*exp(-rUS*T)*N(-d2)-S*Exp(-r€*T)*N(-d1))*B12: direct formula
21
22
23 #VALUE!
24 #VALUE!
 G H
1
The underlying2asset of the currency
a Euro. The Euro3 pays a dividend,
he Euro interest4rate. Therefore the
odel applies, with the underlying asset
5
g S*exp(-r€*T), where r€ is the interest
6
uros. Note also the change in d1, where
7
ears instead of rUS as in the regular
8
holes formula.
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
 A B
1 定价货币期权
2 S 1.3786
3 X 1.3700
4 rUS 5.00%
5 r€ 4.50%
6 当前日期 12-Jul-07
7 期权到期日 20-Dec-07
8 T 0.44110
9 Sigma 6.00%
10
11 d1 0.2323
12 d2 0.1925
13
14 每份看涨期权合约的欧元数 10,000
15
16 N(d1) 0.5919
17 N(d2) 0.5763
18
19 看涨期权价格 275.69
20 看跌期权价格 161.79
21
22 使用练习8中定义的函数
23 看涨期权 #VALUE!
24 看跌期权 #VALUE!
 C D E F
1 定价货币期权
2 当前汇率: 一欧元的美元
直觉： 货币期权的基础资产是欧元。欧元支
3 执行价格
股利，就是欧元利率。 因此， Merton 模型适
4 美元利率 基础资产价格为 S*exp(-r€*T) ，其中 r€ 欧元
5 欧元利率 率。还注意到 d1 中的变化，其中 rUS -r€ 代
6 克 - 斯科尔斯公式中常用 rUS 。
7
8 #VALUE!
9 欧元波动性
10
11 <--(LN(S/X)+(rUS-r€+0.5*sigma^2)*T)/(sigma*SQRT(T))
12 <-- d1 - sigma*SQRT(T)
13
14
15
16 <--- 使用公式 NormSDist(d1)
17 <--- 使用公式 NormSDist(d2)
18
19 <-- (S*Exp(-r€*T)*N(d1)-X*exp(-rUS*T)*N(d2))*B12
20 <-- (X*exp(-rUS*T)*N(-d2)-S*Exp(-r€*T)*N(-d1))*B12: 直接公式
21
22
23 #VALUE!
24 #VALUE!
 G H
1
2
币期权的基础资产是欧元。欧元支付的
3
是欧元利率。 因此， Merton 模型适用，
4
价格为 S*exp(-r€*T) ，其中 r€ 欧元上的利
5
意到 d1 中的变化，其中 rUS -r€ 代替布莱
6
尔斯公式中常用 rUS 。
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
 Black-Scholes option pricing formula
Ratio of S/X 1

r 10.00% risk-free rate of interest

T 0.5 time to maturity of option (in years)
sigma 25% stock volatility
d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- Uses formula NormSDist(d1)

N(d2) 0.5771 <--- Uses formula NormSDist(d2)

C/X 0.10 <-- S*N(d1)-X*exp(-r*T)*N(d2)

S/X C/X
0.10 #VALUE!
0.0001 0.000
0.1 0.000
0.2 0.000
0.3 0.000 1.000 C/X as a function of S/X
0.4 0.000 0.900
0.5 0.000 0.800
0.6 0.000 0.700
0.7 0.002 0.600
0.8 0.013 0.500
C/X

0.9 0.043 0.400

1 0.096 0.300
1.1 0.170
0.200
1.2 0.257
0.100
1.3 0.352
0.000
1.4 0.450
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
1.5 0.549
1.6 0.649 S/X
1.7 0.749
1.8 0.849
1.9 0.949
 布莱克-斯科尔斯期权定价公式
S/X的比率 1

r 10.00% 无风险利率
T 0.5 期权到期时间 (年)
sigma 25% 股票波动性
d1 0.3712 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 0.1945 <-- d1 - sigma*SQRT(T)

N(d1) 0.6448 <--- 使用公式 NormSDist(d1)

N(d2) 0.5771 <--- 使用公式 NormSDist(d2)

C/X 0.10 <-- S*N(d1)-X*exp(-r*T)*N(d2)

S/X C/X
0.10 #VALUE!
0.0001 0.000
0.1 0.000
0.2 0.000
0.3 0.000 1.000 C/X 作为 S/X 的函数
0.4 0.000 0.900
0.5 0.000 0.800
0.6 0.000 0.700
0.7 0.002 0.600
0.8 0.013 0.500
C/X

0.9 0.043 0.400

1 0.096 0.300
1.1 0.170
0.200
1.2 0.257
0.100
1.3 0.352
0.000
1.4 0.450
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
1.5 0.549
1.6 0.649 S/X
1.7 0.749
1.8 0.849
1.9 0.949
 Black-Scholes option pricing formula
Ratio of S/X 0.951229

r 10.00% risk-free rate of interest

T 0.5 time to maturity of option (in years)
sigma 25% stock volatility
d1 0.0884 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 -0.0884 <-- d1 - sigma*SQRT(T)

N(d1) 0.5352 <--- Uses formula NormSDist(d1)

N(d2) 0.4648 <--- Uses formula NormSDist(d2)

C/X 0.07
P/X 0.07

Absolute difference between C/X and P/X 0.00 <-- Use Solver to set this = 0 by varying cell B3.

1 C/X as a function of S/X

0.9
0.8
0.7
0.6 C/X
0.5
C/X

P/X
0.4
0.3
0.2
0.1
0
0 0.2 0.4 0.6 0.8
S/X1 1.2 1.4 1.6 1.8 2
S/X C/X P/X difference
<-- Table header hidden
0.0001 0 0.951129 0.951129
0.1 7.22E-40 0.851229 0.851229
0.2 4.8E-21 0.751229 0.751229
0.3 4.6E-13 0.651229 0.651229
0.4 9.86E-09 0.551229 0.551229
0.5 4.07E-06 0.451233 0.451229
0.6 0.000191 0.35142 0.351229
0.7 0.002415 0.253645 0.251229
0.8 0.013326 0.164555 0.151229
0.9 0.04274 0.093969 0.051229
1 0.095822 0.047052 0.048771
1.1 0.169629 0.020858 0.148771
1.2 0.25709 0.00832 0.248771
1.3 0.35181 0.003039 0.348771
1.4 0.449804 0.001033 0.448771
1.5 0.549103 0.000332 0.548771
1.6 0.648873 0.000102 0.648771
1.7 0.748801 3.02E-05 0.748771
1.8 0.848779 8.73E-06 0.848771
1.9 0.948773 2.47E-06 0.948771
 布莱克-斯科尔斯期权定价公式
S/X的比率 0.951229

r 10.00% 无风险利率
T 0.5 期权到期时间 (年)
sigma 25% 股票波动性
d1 0.0884 <--(LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2 -0.0884 <-- d1 - sigma*SQRT(T)

N(d1) 0.5352 <--- 使用公式 NormSDist(d1)

N(d2) 0.4648 <--- 使用公式 NormSDist(d2)

C/X 0.07
P/X 0.07

C/X 和P/X的绝对值 0.00 <-- 使用规划求解通过变化单元格B3将此设为0.

1 C/X 作为 S/X 的函数

0.9
0.8
0.7
0.6 C/X
0.5
C/X

P/X
0.4
0.3
0.2
0.1
0
0 0.2 0.4 0.6 0.8
S/X1 1.2 1.4 1.6 1.8 2
S/X C/X P/X 差值
<-- 模拟运算表头隐藏
0.0001 0 0.951129 0.951129
0.1 7.22E-40 0.851229 0.851229
0.2 4.8E-21 0.751229 0.751229
0.3 4.6E-13 0.651229 0.651229
0.4 9.86E-09 0.551229 0.551229
0.5 4.07E-06 0.451233 0.451229
0.6 0.000191 0.35142 0.351229
0.7 0.002415 0.253645 0.251229
0.8 0.013326 0.164555 0.151229
0.9 0.04274 0.093969 0.051229
1 0.095822 0.047052 0.048771
1.1 0.169629 0.020858 0.148771
1.2 0.25709 0.00832 0.248771
1.3 0.35181 0.003039 0.348771
1.4 0.449804 0.001033 0.448771
1.5 0.549103 0.000332 0.548771
1.6 0.648873 0.000102 0.648771
1.7 0.748801 3.02E-05 0.748771
1.8 0.848779 8.73E-06 0.848771
1.9 0.948773 2.47E-06 0.948771
 STOCK PARTICIPATION CERTIFICATE
Current price of index 100
Exercise price 100 The security is a combination
Time to maturity 3 bond and a 95% call on the i
Interest rate 6%
Sigma 177% Payoff of security=1000 + 0.9

Participation rate 95%

Value of security Rewriting this slightly:

PV of bond 835.27 #VALUE! Payoff of security=1000 + 0.9
Option value #VALUE! #VALUE!
Value of security #VALUE! #VALUE!
The security is a combination of a pure-discount
bond and a 95% call on the index, at-the-money.

Payoff of security=1000 + 0.95*1000*max(ST/100-1,0)

Rewriting this slightly:

Payoff of security=1000 + 0.95*10*max(ST-100,0)
 股票参合证明书
指数的当前价格 100
执行价格 100 该证券是一个纯折现债券和在
到期时间 3
利率 6%
Sigma 177% 证券的现金流

参合率 95%

证券的价值 重写做稍稍改动
债券的PV 835.27 #VALUE! 证券的现金流
期权的价值 #VALUE! #VALUE!
证券的价值 #VALUE! #VALUE!
该证券是一个纯折现债券和在指数上的95%的两平看涨期权的组合

证券的现金流=1000 + 0.95*1000*max(ST/100-1,0)

重写做稍稍改动:
证券的现金流=1000 + 0.95*10*max(ST-100,0)