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    This document provides the inputs and outputs of the Black-Scholes options pricing model for a European call option. The model prices a call option with a stock price of $100, strike price of $50, 0.01 years to maturity, 6% risk-free rate, and 30% annualized volatility at $50.03. It also shows the calculation of the key parameters such as d1, d2, and the standard normal cumulative distribution function values used to derive the option price.

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    This document provides the inputs and outputs of the Black-Scholes options pricing model for a European call option. The model prices a call option with a stock price of $100, strike price of $50, 0.01 years to maturity, 6% risk-free rate, and 30% annualized volatility at $50.03. It also shows the calculation of the key parameters such as d1, d2, and the standard normal cumulative distribution function values used to derive the option price.

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    2 views3 pages

    Black Scholes Pricer

    Uploaded by

    line
    This document provides the inputs and outputs of the Black-Scholes options pricing model for a European call option. The model prices a call option with a stock price of $100, strike price of $50, 0.01 years to maturity, 6% risk-free rate, and 30% annualized volatility at $50.03. It also shows the calculation of the key parameters such as d1, d2, and the standard normal cumulative distribution function values used to derive the option price.

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    Black Scholes Pricer

    Lorenzo Bretscher, HEC Lausanne, March 2021

    Type of Option Call Option


    Stock Price (S0) $ 100.00
    Exercise (Strike) Price (K) $ 50.00
    Time to Maturity (in years) (t) 0.01
    Annual Risk Free Rate (r) 6.00%
    Annualized Volatility (σ) 30.00%
    Option Price $ 50.03

    Additional Calculation Parameters


    ln(S0/K) 0.693
    (r+σ2/2)t 0.001
    σ√t 0.030
    d1 23.140
    d2 23.110
    N(d1) 1.000
    N(d2) 1.000
    N(-d1) 0.000
    N(-d2) 0.000
    e-rt
    0.99940
    h 2021
    Type of Option

    Call Option
    Put Option

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