Scribd Logo
Upload

Welcome to Scribd!

  • Black Scholes Template

    Uploaded by

    Bill Hunter
    10 views1 page
    For Option pricing

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    For Option pricing

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views1 page

    Black Scholes Template

    Uploaded by

    Bill Hunter
    For Option pricing

    Copyright:

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

    Template - 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) 50 50 5 3.66% 62.00%

    Output Data 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) Value of Call Value of Put

    41.6384 1.3864 0.8252 -0.5612 0.7954 11.9643 27.8040 19.4424

    You might also like