Chapter 16 - UN-13BBlack-Scholes Option-Pricing FormulaS25...

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Unformatted text preview: UN-13BBlack-Scholes Option-Pricing FormulaS25 Current stock priceX25 Exercise pricer6.00% Risk-free rate of interestT0.5 Time to maturity of option (in years)Sigma30% Stock volatility0.2475 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))0.03540.59770.5141Call price2.47Put price1.73 <-- call price - S + X*Exp(-r*T): by Put-Call parity1.73StockCallIntrinsicpricepricevalue100.0000112.50.00089150.0162617.50.11640200.4587522.51.21718252.4706727.54.174282.5306.21317532.58.467077.53510.8440810d1d2<-- d1-sigma*SQRT(T)N(d1)<-- Uses formula NormSDist(d1)N(d2)<-- Uses formula NormSDist(d2)<-- S*N(d1)-X*exp(-r*T)*N(d2)<-- X*exp(-r*T)*N(-d2) - S*N(-d1): direct formula51015202530354024681012lack-Scholes Price versus Intrinsic ValuCa l price Intrinsic va lue Stock price S ($)ABCDEFGHIJK123456789101112131415161718192021222324252627282930313233UN-13CBLACK-SCHOLES MODEL IN VBAS100X100CallPutT1.00###### <--This is the header of the Data Tablestart40Interest10.00%40######step5Sigma40.00%45######50######Call price### <-- =CallOption(B3,B4,B5,B6,B7)55######Put price### <-- =PutOption(B3,B4,B5,B6,B7)60######65######70######To the right is a data75######table that gives the80######call and put values for85######various stock 90######prices. 95######100######105######110######115######120######125######130######44555566577588599511511115121251324681012Call and Put Prices Using Black...
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This note was uploaded on 02/02/2012 for the course BUSINESS 201 taught by Professor Acknan during the Spring '11 term at MIT.

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Chapter 16 - UN-13BBlack-Scholes Option-Pricing FormulaS25...

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