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  • Black Scholes Template

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    Akanksha Walia
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    Download as XLS, PDF, TXT or read online from Scribd
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    15 views1 page

    Black Scholes Template

    Uploaded by

    Akanksha Walia

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Black-Scholes Option Value

    Input Data Stock Price now (P) Exercise Price of Option (EX) Number of periods to Exercise in years (t) Compounded Risk-Free Interest Rate (rf) Standard Deviation (annualized s) 120 115 0.25 10.00% 60.00%

    Output Data Value of Call (Intrinsic Value+Time Value) Value of Put (Intrinsic Value+Time Value)

    18.1073 10.2679

    Present Value of Exercise Price (PV(EX)) s*t^.5 d1 d2 Delta N(d1) Normal Cumulative Density Function Bank Loan N(d2)*PV(EX)

    112.1606 0.3000 0.3752 0.0752 0.6462 59.4420

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