d1= d2=

N(d1)= N(d2)
N(-d1)= N(-d2)=
Call Price = Put Price=
Cell Formula
d1
d2
N(d1)
Call price
Put price
Stock Volatality Call Price Put Price Stock Price
20% 30
25% 35
30% 40
35% 45
40% 50
Sensitivity Analysis using Black Scholes Model
Stock Volatility,
The Black -Scholes Option Pricing Model
Current Stock Price, S
0
=
Exercise Price,K=
Risk Free Rate of Return,r=
Time to expiration (in years),T=
Call Price Put Price
Sensitivity Analysis using Black Scholes Model
40.00
40.00
7.00%
0.40
Actual Estimated
3.08
d1= d2=
N(d1)= N(d2)
Set target cell Leave Blank
By Changing Cell D8
Subject to Constraint D11=E11
D80
CELL FORMULA
d1 C13
N(d2) C14
d2 F13
c E11
Stock Implied Volatility,
Call option price=
Solver Paramets
Estimating Implied Volatility by Black -Scholes Option Pricing Model
Current Stock Price, S=
Exercise Price,E=
Risk Free Rate of Return,r=
Time to expiration (in years),T=