Black-Scholes Model

Using the example on notes

Input

T 0.333333333 Time(years) Change these parameters

Sigma 25.00% Volatility ( %)
S 30.00 Stock Price
r 5.00% Interest Rate (%)
K 29.00 Exercise Price

OUTPUT PANEL:

C 2.53 Black-Scholes Call Price

Delta 0.66 Delta (Hedge Ratio)
E 7.62 Elasticity*
P 1.05 Black-Scholes Put Price

*Percent change in call from a one percent change in the stock price
Intermediate Calculations- Do not change

Tau 0.33
SQRT(Tau) 0.5774
r*Tau 0.0167
Exp(-rTau) 0.9835
Sigma*SQRT(Tau) 0.1443
ln(S/K) 0.0339

d1 0.4225
d2 0.2782
N(d1) 0.66367567
N(d2) 0.609562181