Scribd Logo
Upload

Welcome to Scribd!

  • Datos µ 15% Ø 0.11875, 0.25 2 δ 25%: Probabilidad

    Uploaded by

    Jorge Medrano
    9 views4 pages
    The document contains information about statistical distributions and Black-Scholes option pricing models. It provides parameters for normal and lognormal distributions including means, standard deviations, and probabilities. It also lists input variables and results of applying the Black-Scholes formula to price a European call option, such as the stock price, strike price, risk-free rate, time to expiration, and calculated option price.

    Original Description:

    Original Title

    Black Scholes (1)

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document contains information about statistical distributions and Black-Scholes option pricing models. It provides parameters for normal and lognormal distributions including means, standard deviations, and probabilities. It also lists input variables and results of applying the Black-Scholes formula to price a European call option, such as the stock price, strike price, risk-free rate, time to expiration, and calculated option price.

    Copyright:

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

    Datos µ 15% Ø 0.11875, 0.25 2 δ 25%: Probabilidad

    Uploaded by

    Jorge Medrano
    The document contains information about statistical distributions and Black-Scholes option pricing models. It provides parameters for normal and lognormal distributions including means, standard deviations, and probabilities. It also lists input variables and results of applying the Black-Scholes formula to price a European call option, such as the stock price, strike price, risk-free rate, time to expiration, and calculated option price.

    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

    DATOS µ 15% Ø 0.11875 , 0.

    25 2
    δ 25%

    DATOS S0 38   0.35
     ln 38   0.16 
    µ 16% Ø 3.687 , 0.247 2   2
    δ 35%
    T 0.5  (3.687, 0.247
    Ln 3.68887945
    Strike 40 0.00191829438755
    0.008

    Probabilidad 0.5031 50.31%

    BLACK SCHOLES

    S0 52 (δ^2)/2 0.045
    K 50 δraiz(T) 0.15
    r 12% Ln(So/K) 0.0392207132
    δ 30% exp(-r*T) 0.9704455335
    T 0.25 d1 0.536471421
    d2 0.386471421
    3 meses equivalen a 0.25 años
    3/12 = 0.25

    N(d1) 0.7041836088
    N(d2) 0.6504262178
    SoN(d1) 36.61754766
    Ke^-r*TN(d2) 31.5601609
    c 5.06
    N(-d1) 0.2958163912
    N(-d2) 0.3495737822
    p 1.58
      0.352  
     ln 38   0.16 
     0.5, 0.352  0.5
      2  

     (3.687, 0.247 2 )

    You might also like