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  • Fórmula de Black-Scholes: S X RF Vol T Q Tipo

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    eliasneto100
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    The document shows graphs and tables demonstrating the Black-Scholes formula for pricing a call option with varying parameters like the stock price (S), strike price (X), risk-free interest rate (rf), volatility (vol), and time to expiration (t). It plots how the option price changes as these variables are altered according to the Black-Scholes model.

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    grafico3d

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    The document shows graphs and tables demonstrating the Black-Scholes formula for pricing a call option with varying parameters like the stock price (S), strike price (X), risk-free interest rate (rf), volatility (vol), and time to expiration (t). It plots how the option price changes as these variables are altered according to the Black-Scholes model.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    10 views6 pages

    Fórmula de Black-Scholes: S X RF Vol T Q Tipo

    Uploaded by

    eliasneto100
    The document shows graphs and tables demonstrating the Black-Scholes formula for pricing a call option with varying parameters like the stock price (S), strike price (X), risk-free interest rate (rf), volatility (vol), and time to expiration (t). It plots how the option price changes as these variables are altered according to the Black-Scholes model.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    Fórmula de Black-Scholes

    S 50 S PayOff Preço Opção


    X 50 35.00 0 #VALUE!
    rf 0.15 35.30 0 #VALUE!
    vol 0.4 35.60 0 #VALUE!
    t 0.08 35.90 0 #VALUE!
    q 0 36.20 0 #VALUE!
    tipo call 36.50 0 #VALUE!
    37.40 0 #VALUE!
    Preço BS x Preço Ativo
    37.70 0 #VALUE!
    16
    38.00 0 #VALUE!
    14 38.30 0 #VALUE!
    12 38.60 0 #VALUE!
    10 38.90 0 #VALUE!
    8 39.20 0 #VALUE!
    39.50 0 #VALUE!
    6
    39.80 0 #VALUE!
    4
    40.10 0 #VALUE!
    2 40.40 0 #VALUE!
    0 40.70 0 #VALUE!
    30.00 35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 41.00 0 #VALUE!
    41.30 0 #VALUE!
    Delta x Spot
    41.60 0 #VALUE!
    12.0000
    41.90 0 #VALUE!
    10.0000 42.20 0 #VALUE!
    8.0000 42.50 0 #VALUE!
    42.80 0 #VALUE!
    6.0000
    43.10 0 #VALUE!
    4.0000 43.40 0 #VALUE!
    43.70 0 #VALUE!
    2.0000
    44.00 0 #VALUE!
    - 44.30 0 #VALUE!
    30.00 40.00 50.00 60.00 70.00 44.60 0 #VALUE!
    44.90 0 #VALUE!
    Gama 45.20 0 #VALUE!
    12.000000
    45.50 0 #VALUE!
    10.000000 45.80 0 #VALUE!
    46.10 0 #VALUE!
    8.000000 46.40 0 #VALUE!
    6.000000 46.70 0 #VALUE!
    47.00 0 #VALUE!
    4.000000 47.30 0 #VALUE!
    2.000000 47.60 0 #VALUE!
    47.90 0 #VALUE!
    - 48.20 0 #VALUE!
    30.00 40.00 50.00 60.00 70.00 48.50 0 #VALUE!
    48.80 0 #VALUE!
    Preço BS ao longo tempo 49.10 0 #VALUE!
    12.0000 49.40 0 #VALUE!
    49.70 0 #VALUE!
    10.0000
    50.00 0 #VALUE!
    8.0000 50.30 0.3 #VALUE!
    50.60 0.6 #VALUE!
    6.0000

    4.0000

    2.0000

    -
    - 0.0200 0.0400 0.0600 0.0800 0.1000
    Preço BS ao longo tempo
    12.0000

    10.0000

    8.0000

    6.0000
    50.90 0.9 #VALUE!
    4.0000 51.20 1.2 #VALUE!
    51.50 1.5 #VALUE!
    2.0000 51.80 1.8 #VALUE!
    52.10 2.1 #VALUE!
    -
    - 0.0200 0.0400 0.0600 0.0800 0.1000 52.40 2.4 #VALUE!
    52.70 2.7 #VALUE!
    Theta 53.00 3 #VALUE!
    12.0000 53.30 3.3 #VALUE!
    53.60 3.6 #VALUE!
    10.0000 53.90 3.9 #VALUE!
    8.0000
    54.20 4.2 #VALUE!
    54.50 4.5 #VALUE!
    6.0000 54.80 4.8 #VALUE!
    55.10 5.1 #VALUE!
    4.0000
    55.40 5.4 #VALUE!
    2.0000 55.70 5.7 #VALUE!
    56.00 6 #VALUE!
    -
    30.00 40.00 50.00 60.00 70.00
    56.30 6.3 #VALUE!
    56.60 6.6 #VALUE!
    56.90 6.9 #VALUE!
    Vega
    57.20 7.2 #VALUE!
    12.0000
    57.50 7.5 #VALUE!
    10.0000 57.80 7.8 #VALUE!
    58.10 8.1 #VALUE!
    8.0000
    58.40 8.4 #VALUE!
    6.0000 58.70 8.7 #VALUE!
    59.00 9 #VALUE!
    4.0000
    59.30 9.3 #VALUE!
    2.0000 59.60 9.6 #VALUE!
    59.90 9.9 #VALUE!
    -
    60.20 10.2 #VALUE!
    30.00 40.00 50.00 60.00 70.00
    60.50 10.5 #VALUE!
    60.80 10.8 #VALUE!
    61.10 11.1 #VALUE!
    61.40 11.4 #VALUE!
    61.70 11.7 #VALUE!
    62.00 12 #VALUE!
    62.30 12.3 #VALUE!
    62.60 12.6 #VALUE!
    62.90 12.9 #VALUE!
    63.20 13.2 #VALUE!
    63.50 13.5 #VALUE!
    63.80 13.8 #VALUE!
    64.10 14.1 #VALUE!
    64.40 14.4 #VALUE!
    64.70 14.7 #VALUE!
    65.00 15 #VALUE!

    Esta planilha esta disponível no site http://www.risktech.com.br,


    na seção Modelos de Excel, e dedica-se exclusivamente a fins
    educacionais. Nem o Risktech.com.br nem o Ibmec
    se responsabilizam por outros usos.

    Dúvidas:
    riskmaster@risktech.com.br
    delta_teor gama_teor vega_num theta_num t T-t f
    #VALUE! #VALUE! #VALUE! #VALUE! - 0.0833 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0008 0.0825 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0017 0.0817 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0025 0.0809 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0033 0.0800 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0041 0.0792 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0066 0.0767 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0074 0.0759 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0083 0.0751 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0091 0.0743 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0099 0.0734 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0107 0.0726 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0116 0.0718 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0124 0.0710 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0132 0.0701 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0140 0.0693 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0149 0.0685 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0157 0.0677 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0165 0.0668 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0173 0.0660 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0182 0.0652 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0190 0.0644 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0198 0.0635 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0206 0.0627 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0215 0.0619 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0223 0.0611 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0231 0.0602 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0239 0.0594 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0248 0.0586 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0256 0.0578 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0264 0.0569 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0272 0.0561 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0281 0.0553 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0289 0.0545 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0297 0.0536 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0305 0.0528 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0314 0.0520 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0322 0.0512 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0330 0.0503 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0338 0.0495 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0347 0.0487 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0355 0.0479 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0363 0.0470 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0371 0.0462 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0380 0.0454 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0388 0.0446 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0396 0.0437 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0404 0.0429 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0413 0.0421 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0421 0.0413 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0429 0.0404 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0437 0.0396 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0446 0.0388 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0454 0.0380 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0462 0.0371 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0470 0.0363 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0479 0.0355 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0487 0.0347 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0495 0.0338 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0503 0.0330 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0512 0.0322 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0520 0.0314 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0528 0.0305 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0536 0.0297 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0545 0.0289 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0553 0.0281 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0561 0.0272 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0569 0.0264 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0578 0.0256 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0586 0.0248 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0594 0.0239 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0602 0.0231 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0611 0.0223 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0619 0.0215 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0627 0.0206 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0635 0.0198 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0644 0.0190 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0652 0.0182 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0660 0.0173 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0668 0.0165 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0677 0.0157 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0685 0.0149 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0693 0.0140 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0701 0.0132 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0710 0.0124 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0718 0.0116 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0726 0.0107 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0734 0.0099 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0743 0.0091 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0751 0.0083 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0759 0.0074 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0767 0.0066 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0776 0.0058 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0784 0.0050 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0792 0.0041 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0800 0.0033 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0809 0.0025 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0817 0.0017 #VALUE!
    #VALUE! #VALUE! #VALUE! #VALUE! 0.0825 0.0008 #VALUE!

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