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Chapter 16

# Chapter 16 - UN-13B A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15...

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UN-13B Black-Scholes Option-Pricing Formula S 25 Current stock price X 25 Exercise price r 6.00% Risk-free rate of interest T 0.5 Time to maturity of option (in years) Sigma 30% Stock volatility 0.2475 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) 0.0354 0.5977 0.5141 Call price 2.47 Put price 1.73 <-- call price - S + X*Exp(-r*T): by Put-Call parity 1.73 Stock Call Intrinsic price price value 10 0.00001 0 12.5 0.00089 0 15 0.01626 0 17.5 0.11640 0 20 0.45875 0 22.5 1.21718 0 25 2.47067 0 27.5 4.17428 2.5 30 6.21317 5 32.5 8.46707 7.5 35 10.84408 10 d 1 d 2 <-- d 1 -sigma*SQRT(T) N(d 1 ) <-- Uses formula NormSDist(d 1 ) N(d 2 ) <-- Uses formula NormSDist(d 2 ) <-- S*N(d 1 )-X*exp(-r*T)*N(d 2 ) <-- X*exp(-r*T)*N(-d 2 ) - S*N(-d 1 ): direct formula 5 10 15 20 25 30 35 40 0 2 4 6 8 10 12 Black-Scholes Price versus Intrinsic Value Ca ll price Intrinsic va lue Stock price S (\$) A B C D E F G H I J K 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33

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UN-13C BLACK-SCHOLES MODEL IN VBA S 100 X 100 Call Put T 1.00 ### ### <--This is the header of the Data Table start 40 Interest 10.00% 40 ### ### step 5 Sigma 40.00% 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 data 75 ### ### table that gives the 80 ### ### call and put values for 85 ### ###
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Chapter 16 - UN-13B A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15...

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