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  • Black Scholes European Call Valuation Model Inputs & Outputs

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    rohan27709321
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    This document contains information about inputs and outputs for the Black-Scholes options pricing model. It lists the variables used in the model like stock price, strike price, risk free rate, and time to maturity. It then shows example values for these variables and the corresponding outputs from the model which include probabilities and the call option price. It demonstrates the model being run for three different examples.

    Original Description:

    val model

    Original Title

    Black Scholes Call

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    This document contains information about inputs and outputs for the Black-Scholes options pricing model. It lists the variables used in the model like stock price, strike price, risk free rate, and time to maturity. It then shows example values for these variables and the corresponding outputs from the model which include probabilities and the call option price. It demonstrates the model being run for three different examples.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    7 views2 pages

    Black Scholes European Call Valuation Model Inputs & Outputs

    Uploaded by

    rohan27709321
    This document contains information about inputs and outputs for the Black-Scholes options pricing model. It lists the variables used in the model like stock price, strike price, risk free rate, and time to maturity. It then shows example values for these variables and the corresponding outputs from the model which include probabilities and the call option price. It demonstrates the model being run for three different examples.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
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    of 2

    Variable:

    Risk Free Rate


    Exercise Price
    Stock Price
    Standard Deviation
    Time
    First stage Investment
    Call value
    NPV

    Symbol
    Rf
    X
    S
    sigma
    t

    Description
    risk free return rate
    PV of future investment
    NPV of cash flow expected from investment
    estimated std deviation
    Maturity date of option to invest

    Example
    Value
    0.07
    100
    108.45
    0.55
    2
    20
    #VALUE!
    #VALUE!

    Black Scholes European Call Valuation Model


    Inputs
    Price (P)
    Std Dev
    Risk free rate
    Ex Price
    Time
    Output
    d1
    d2
    N(d1)
    N(d2)
    Call Price(V)

    Test
    48.89
    0.5556
    0.0096
    50
    0.292

    Example
    108.45
    0.5
    0.07
    100
    2

    108.45
    0.6
    0.07
    100
    2

    0.084675
    -0.215555
    0.53374
    0.414668
    5.419221

    0.666263
    -0.040844
    0.747378
    0.48371
    39.00145

    0.684855
    -0.163673
    0.753282
    0.434994
    43.87688

    First stage investment


    Value

    20
    20
    19.00145 23.87688

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