Black Scholes for Class Text 2nd Edition updated 042607

# Black Scholes for Class Text 2nd Edition updated 042607 -...

This preview shows pages 1–5. Sign up to view the full content.

This worksheet shows how to calculate the value of a Call and We calculate a Call Prem first and then use the Put formula an We use Data Tables to calculate premiums at various prices We calculate Delta, Gamma, Theta, Rho, Vega Example 12.1 Stock Opiton Inputs Stock Price - S 50 Input Strike Price - K 50 Output Standard Dev - 0.3 Variance 0.09 dividend 0 Risk Free Rate 0.1 Time 0.25 d1 = 0.2417 d2= 0.0917 Stock Strike = 50 0.6 48.765 0.537 time 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 N(d 1 ) N(d 2 )

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Use put forumula Put Prem 2.3759 48.7655 0.46 50 0.4 12.2 Use put call parity = Call premium + present value of strike price - less s Put Prem 2.38 Stock Price 41.00 less dividend 2.98 12.3 38.02 Stock Opiton Inputs Stock Price - S 38.02 Input Strike Price - K 40 Output Standard Dev - 0.3 Variance 0.09 dividend 0 Risk Free Rate 0.08 Time 0.2500 0.13 d1 = -0.13011 d2= -0.28 Stock N(x) PV(Strike) d1-stdev*sqrT = 38.02 0.45 39.21 0.39 time 3.743 0.25 5.007 0.50 6.069 0.75 7.017 1.00 K*e -rt *N(-d 2 ) - Se -dt *N(-d 1 ) =K*e -rt * N(-d 2 ) -Se -dt * N(-d 1 ) Put call parity for put You can use put-call parity get the same answer!
7.888 1.25 8.702 1.50 9.470 1.75 10.200 2.00 10.898 2.25 11.568 2.50 12.212 2.75 12.834 3.00

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
d Put Option.
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### Page1 / 22

Black Scholes for Class Text 2nd Edition updated 042607 -...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online