ch17optionr Black - Scholes_i

Ch17optionr Black- - Chapter 17 Black-Scholes Option Pricing Call Valuation Call Time Premiums Inputs Standard Deviation Variance Maturity in Years

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Inputs Standard Deviation 0.28 Variance 0.08 Call Option Value Call Time Value Call Option Value Call Time Value Maturity in Years 0.5 7 7 Risk-free Rate (Annual) 0.06 7 7 60 0.02 60 0.02 Stock Price 100 0.15 3.39 0.15 3.39 65 0.06 65 0.06 Exercise Price 105 0.18 4.09 0.18 4.09 70 0.18 70 0.18 Dividend Yield 0 0.2 4.79 0.2 4.79 75 0.44 75 0.44 Outputs 0.23 5.5 0.23 5.5 80 0.94 80 0.94 d1 0 0.25 6.2 0.25 6.2 85 1.76 85 1.76 d2 -0.19 0.28 6.91 0.28 6.91 90 3.01 90 3.01 N(d1) 0.5 Standard 0.3 7.61 Standard 0.3 7.61 Stock 95 4.75 Stock 95 4.75 N(d2) 0.42 Deviation 0.33 8.32 Deviation 0.33 8.32 Price 100 7 Price 100 7 Black-Scholes Call Value 7 of Returns 0.35 9.02 of Returns 0.35 9.02 105 9.75 105 9.75 Black-Scholes Put Value 8.9 0.38 9.73 0.38 9.73 110 12.97 110 7.97 0.4 10.43 0.4 10.43 115 16.6 115 6.6 0.43 11.13 0.43 11.13 120 20.57 120 5.57 Intrinsic Value of Call 0 0.45 11.83 0.45 11.83 125 24.82 125 4.82 Time Value of Call 7 0.48 12.54 0.48 12.54 130 29.27 130 4.27 0.5 13.24 0.5 13.24 135 33.89 135 3.89 Intrinsic Value of Put 5 Time Value of Put 3.9 Call Option Value Call Time Value Call Option Value Call Time Value 7 7 7 7 0.05 0.86 0.05 0.86 0.03 6.37 0.03 6.37 0.1 1.82 0.1 1.82 0.04 6.47 0.04 6.47 0.15 2.65 0.15 2.65 0.04 6.58 0.04 6.58 0.2 3.4 0.2 3.4 0.05 6.68 0.05 6.68 0.25 4.09 0.25 4.09 0.05 6.79 0.05 6.79 0.3 4.73 0.3 4.73 0.06 6.89 0.06 6.89 0.35 5.34 0.35 5.34 0.06 7 0.06 7 Maturity 0.4 5.92 Maturity 0.4 5.92 Risk-Free 0.07 7.11 Risk-Free 0.07 7.11 in Years 0.45 6.47 in Years 0.45 6.47 Rate 0.07 7.22 Rate 0.07 7.22 0.5 7 0.5 7 0.08 7.33 0.08 7.33 0.55 7.51 0.55 7.51 0.08 7.44 0.08 7.44 0.6 8.01 0.6 8.01 0.09 7.55 0.09 7.55 0.65 8.49 0.65 8.49 0.09 7.66 0.09 7.66 0.7 8.96 0.7 8.96 0.1 7.78 0.1 7.78 0.75 9.42 0.75 9.42 0.1 7.89 0.1 7.89 0.8 9.87 0.8 9.87 0.11 8.01 0.11 8.01 0.85 10.31 0.85 10.31 0.11 8.13 0.11 8.13 0.9 10.74 0.9 10.74 0.12 8.25
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This note was uploaded on 10/28/2009 for the course MBA MBA608 taught by Professor Martin during the Spring '09 term at Beirut Arab University.

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Ch17optionr Black- - Chapter 17 Black-Scholes Option Pricing Call Valuation Call Time Premiums Inputs Standard Deviation Variance Maturity in Years

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