Black-Scholes-Merton

Stock
Strike
Volatility
Riskless rate
Term
Dividend Yield
d1
d2
Call
Put

$10
$10
30%
4.0%
1.00
0%
0.28
(0.02)
$1.38
$0.98

d1* =

ln(

S0

2
) +( r − q+ σ ) T
K
2
σ T

d2* = d1* − σ T

− rT

c = S0N(d1) − Ke N(d 2 )

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