Completed Final Project Solutions Options Expense - Stock Price $50.00 Volatility 39.75 1 2 3 4 5 6 7 8 9 10 11 12 Grant Month Jan-12 Feb-12 Mar-12

Completed Final Project Solutions Options Expense - Stock...

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Unformatted text preview: Stock Price $50.00 Volatility 39.75% 1 2 3 4 5 6 7 8 9 10 11 12 Grant Month Jan-­‐12 Feb-­‐12 Mar-­‐12 Apr-­‐12 May-­‐12 Jun-­‐12 Jul-­‐12 Aug-­‐12 Sep-­‐12 Oct-­‐12 Nov-­‐12 Dec-­‐12 Option Pricing Function: BlackScholesPrice(stock_price, strike_price, r # Options Granted 4,600 5,600 5,100 6,600 3,700 6,800 4,400 6,700 3,400 4,700 5,200 4,600 Risk Free Rates (01/01/2012) 1 Mo 0.01% 3 Mo 0.02% 6 Mo 0.06% 1 Yr 0.12% 2 Yr 0.27% 3 Yr 0.40% 5 Yr 0.89% 7 Yr 1.41% 10 Yr 1.97% 20 Yr 2.67% 30 Yr 2.98% Strike Price 45 50 55 55 50 50 45 50 50 50 45 40 Time to Expiry 6 Mo 2 Yr 3 Yr 1 Yr 3 Yr 3 Yr 3 Yr 6 Mo 3 Yr 5 Yr 1 Yr 5 Yr Black Scholes Test Correct Value Time to Expiry (numeric) 0.5 2.0 3.0 1.0 3.0 3.0 3.0 0.5 3.0 5.0 1.0 5.0 14.23 14.23 esPrice(stock_price, strike_price, risk_free_rate, time_to_expiry, volatility) Risk-­‐Free Rate 0.06% 0.27% 0.40% 0.12% 0.40% 0.40% 0.40% 0.06% 0.40% 0.89% 0.12% 0.89% Option Price $ 8.18 $ 11.17 $ 11.98 $ 6.03 $ 13.69 $ 13.69 $ 15.67 $ 5.60 $ 13.69 $ 17.90 $ 10.27 $ 21.65 Total Option Expense $ 37,628 $ 62,552 $ 61,098 $ 39,798 $ 50,653 $ 93,092 $ 68,948 $ 37,520 $ 46,546 $ 84,130 $ 53,404 $ 99,590 ...
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