Black-Scholes Formula.pdf - .98713.98745.98778.98809.98840.98870.98899 2.3.98928.98956.98983.99010.99036.99061.99086.99111.99134.99158

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Worksheet 7: Black-Scholes Formula 1. You are thinking of buying an option on some asset. The asset satisfies the following: S (0) = 58, δ = 0 . 03, and σ = 0 . 3. The risk free rate is 5%. (a) Use the Black-Scholes Formula to determine the price of a one year European call with strike 60 on S . (b) Determine the price of a one year European put with strike 60 on S . 1
STANDARD NORMAL DISTRIBUTION: Table Values Represent AREA to the LEFT of the Z score. Z .00 .01 .02 .03 .04 .05 .06 .07 .08 .09 0.0 .50000 .50399 .50798 .51197 .51595 .51994 .52392 .52790 .53188 .53586 0.1 .53983 .54380 .54776 .55172 .55567 .55962 .56356 .56749 .57142 .57535 0.2 .57926 .58317 .58706 .59095 .59483 .59871 .60257 .60642 .61026 .61409 0.3 .61791 .62172 .62552 .62930 .63307 .63683 .64058 .64431 .64803 .65173 0.4 .65542 .65910 .66276 .66640 .67003 .67364 .67724 .68082 .68439 .68793 0.5 .69146 .69497 .69847 .70194 .70540 .70884 .71226 .71566 .71904 .72240 0.6 .72575 .72907 .73237 .73565 .73891 .74215 .74537 .74857 .75175 .75490 0.7 .75804 .76115 .76424 .76730 .77035 .77337 .77637 .77935 .78230 .78524 0.8 .78814 .79103 .79389 .79673 .79955 .80234 .80511 .80785 .81057 .81327 0.9 .81594 .81859 .82121 .82381 .82639 .82894 .83147 .83398 .83646 .83891 1.0 .84134 .84375 .84614 .84849 .85083 .85314 .85543 .85769 .85993 .86214 1.1 .86433 .86650 .86864 .87076 .87286 .87493 .87698 .87900 .88100 .88298 1.2 .88493 .88686 .88877 .89065 .89251 .89435 .89617 .89796 .89973 .90147 1.3 .90320 .90490 .90658 .90824 .90988 .91149 .91309 .91466 .91621 .91774 1.4 .91924 .92073 .92220 .92364 .92507 .92647 .92785 .92922 .93056 .93189 1.5 .93319 .93448 .93574 .93699 .93822 .93943 .94062 .94179 .94295 .94408 1.6 .94520 .94630 .94738 .94845 .94950 .95053 .95154 .95254 .95352 .95449 1.7 .95543 .95637 .95728 .95818 .95907 .95994 .96080 .96164 .96246 .96327 1.8 .96407 .96485 .96562 .96638 .96712 .96784 .96856 .96926 .96995 .97062 1.9 .97128 .97193 .97257 .97320 .97381 .97441 .97500 .97558 .97615 .97670 2.0 .97725 .97778 .97831 .97882 .97932 .97982 .98030 .98077 .98124 .98169 2.1 .98214 .98257 .98300 .98341 .98382 .98422 .98461 .98500 .98537 .98574 2.2 .98610 .98645

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• Spring '13
• WARREN
• Mathematical finance, δ, black-scholes formula
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