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Black Scholes SHEET
Black Scholes SHEET
Input Data
Stock Price now (P) 100
Exercise Price of Option (EX) 43
Number of periods to Exercise in years (t) 5
Compounded Risk-Free Interest Rate (rf) 7.20%
Standard Deviation (annualized s) 0.50%
Output Data
Present Value of Exercise Price (PV(EX)) 30.0001
s*t^.5 0.0112
d1 107.6919
d2 107.6808
Delta N(d1) Normal Cumulative Density Function 1.0000
Bank Loan N(d2)*PV(EX) 30.0001
Input Data
Stock Price now (P) 100
Exercise Price of Option (EX) 43
Number of periods to Exercise in years (t) 4
Compounded Risk-Free Interest Rate (rf) 7.20%
Standard Deviation (annualized s) 0.50%
Output Data
Present Value of Exercise Price (PV(EX)) 32.2397
s*t^.5 0.0100
d1 113.2020
d2 113.1920
Delta N(d1) Normal Cumulative Density Function 1.0000
Bank Loan N(d2)*PV(EX) 32.2397
Input Data
Stock Price now (P) 100
Exercise Price of Option (EX) 43
Number of periods to Exercise in years (t) 3
Compounded Risk-Free Interest Rate (rf) 7.20%
Standard Deviation (annualized s) 0.50%
Output Data
Present Value of Exercise Price (PV(EX)) 34.6466
s*t^.5 0.0087
d1 122.3991
d2 122.3905
Delta N(d1) Normal Cumulative Density Function 1.0000
Bank Loan N(d2)*PV(EX) 34.6466
Input Data
Stock Price now (P) 100
Exercise Price of Option (EX) 43
Number of periods to Exercise in years (t) 2
Compounded Risk-Free Interest Rate (rf) 7.20%
Standard Deviation (annualized s) 0.50%
Output Data
Present Value of Exercise Price (PV(EX)) 37.2332
s*t^.5 0.0071
d1 139.7236
d2 139.7165
Delta N(d1) Normal Cumulative Density Function 1.0000
Bank Loan N(d2)*PV(EX) 37.2332
Input Data
Stock Price now (P) 100
Exercise Price of Option (EX) 43
Number of periods to Exercise in years (t) 1
Compounded Risk-Free Interest Rate (rf) 7.20%
Standard Deviation (annualized s) 0.50%
Output Data
Present Value of Exercise Price (PV(EX)) 40.0128
s*t^.5 0.0050
d1 183.1965
d2 183.1915
Delta N(d1) Normal Cumulative Density Function 1.0000
Bank Loan N(d2)*PV(EX) 40.0128