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  • Template - Black-Scholes Option Value: Input Data

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    Juan Angel LH
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    Black Scholes Template

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    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
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    2 views1 page

    Template - Black-Scholes Option Value: Input Data

    Uploaded by

    Juan Angel LH
    b

    Copyright:

    © All Rights Reserved
    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) 50
    Exercise Price of Option (EX) 50
    Number of periods to Exercise in years (t) 5
    Compounded Risk-Free Interest Rate (rf) 3.66%
    Standard Deviation (annualized s) 62.00%

    Output Data
    Present Value of Exercise Price (PV(EX)) 41.6384
    s*t^.5 1.3864
    d1 0.8252
    d2 -0.5612
    Delta N(d1) Normal Cumulative Density Function 0.7954
    Bank Loan N(d2)*PV(EX) 11.9643

    Value of Call 27.8040


    Value of Put 19.4424

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