Excel Forecasting Final Project Options Expense - Stock Price Volatility $50.00 Option Pricing Function BlackScholesPrice(stock_price strike_price

Excel Forecasting Final Project Options Expense - Stock...

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Unformatted text preview: Stock Price Volatility $50.00 Option Pricing Function: BlackScholesPrice(stock_price, strike_price, r #DIV/0! 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 # 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 13.65 14.23 esPrice(stock_price, strike_price, risk_free_rate, time_to_expiry, volatility) Option Total Option Risk-­‐Free Rate Price Expense ...
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