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  • Template - Black-Scholes Option Value: Input Data

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    moneshivangi29
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    assumptions

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    Black Scholes MODEL.

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    assumptions

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    44 views2 pages

    Template - Black-Scholes Option Value: Input Data

    Uploaded by

    moneshivangi29
    assumptions

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Template - Black-Scholes Option Value

    Template - Black-Scholes Option Value Input Data Stock Price now (P) Exercise Price of Option (EX) Number of periods to Exercise in years (t) Compounded Risk-Free Interest Rate (rf) Standard Deviation (annualized s) 120 100 0.5 8.00% 30.00%

    Output Data Present Value of Exercise Price (PV(EX)) s*t^.5 d1 d2 Delta N(d1) Normal Cumulative Density Function Bank Loan N(d2)*PV(EX) Value of Call Value of Put

    96.0789 0.2121 1.1541 0.9420 0.8758 79.4472 25.6452 1.7241

    P = Ke

    -rt

    N(-d 2 )- SN (-d 1 )

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