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Inputs
Outputs d1 s T
d1
d2
N(d1)
N(d2)
Call Price (C0)
-d1 C0 S0 N d1 Xe rT N d 2
-d2
N(-d1)
N(-d2)
Put Price (P0)
P0 S0 N d1 Xe rT N d 2
BLACK SCHOLES OPTION PRICING Continuous Dividend
Inputs
Dynamic Chart of Black Scholes Option Pricing
Option Type Call Put 1
Option Price
$60
$40
Standard Dev - Annual (s) 71.65% 7
$30
Riskfree Rate- Annual (r) 4.95% 5
$20
Exercise Price (X) $70.00 70
$10
Outputs
d1
d2
N(d1)
N(d2) ln S 0
/ X r d s 2 / 2 T / s T
Call Price (C0)
-d1
-d2
C0 S 0 e dT N d1 Xe rT N d 2
N(-d1)
N(-d2)
Put Price (P0) P0 S0 e dT N d1 Xe rT N d 2
Delta 12.00
Stock Price Now (S0) $69.81 69 Theta
10.00
Gamma
Standard Dev - Annual (s) 71.65% 7 8.00
Vega
Rho 6.00
Riskfree Rate- Annual (r) 4.95% 5
4.00
2.00
0.00
$0 $20 $40 $60 $80 $100 $120 $140
Stock Price Now
Greek
10.00
8.00
6.00
4.00
Exercise Price (X) $70.00 70 Put Greeks
2.00
Delta
Time To Maturity - Years (T) 0.5777 6 Theta 0.00
Gamma $0 $20 $40 $60 $80 $100 $120 $140
Dividend Yield (d) 1.00% 1 Stock Price Now
Vega
Greek Value
Outputs 1 12.00
d1
10.00
d2
8.00
6.00
4.00
2.00
0.00
0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0
Time To Maturity
Delta e dT N d1
Theta
d1 s e dT
S0 N �
dS0 N d1 e dT rXe rT N d 2
2 T
d1
where N � = normal density evaluated at d1
Gamma
d1 e dT
N�
S0s T
d1 = normal density evaluated at d1
where N �
Gamma
d1 e dT
N�
S0s T
d1 = normal density evaluated at d1
where N �
Call Greeks
Delta (¶Call / ¶Stock Price)
Theta (-¶Call / ¶Time To Mat)
Gamma (¶2Call / ¶Stock Price2) d1 e dT
Vega S0 T N �
Vega (¶Call / ¶Std Dev)
Rho (¶Call / ¶Riskfree Rate)
d1 = normal density evaluated at d1
where N �
Call Gamma
Call Vega
Rho XTe rT N d 2
Data Table: Sensitivity of the Selected Greek to Stock Price Now
Input Values for Stock Price Now
Output Formula:
Selected Greek
Time To Maturity
Data Table: Sensitivity of the Selected Greek to Time To Maturity Index
Input Values for Time To Maturity Index
Output Formula:
Selected Greek
BLACK SCHOLES OPTION PRICING Implied Volatility
Inputs
Option Type: 1=Call, 2=Put 1 1 1 1 1 2 2 2 2 2
Stock Price Now (S0) $1,513 $1,513 $1,513 $1,513 $1,513 $1,513 $1,513 $1,513 $1,513 $1,513
Standard Dev - Annual (s) 21.66% 17.31% 14.77% 16.01% 13.81% 15.66% 14.73% 14.02% 11.25% 6.31%
Riskfree Rate- Annual (r) 4.62% 4.62% 4.62% 4.62% 4.62% 4.62% 4.62% 4.62% 4.62% 4.62%
Exercise Price (X) $1,450 $1,500 $1,520 $1,540 $1,600 $1,450 $1,500 $1,520 $1,540 $1,600
Time To Maturity - Years (T) 0.2416 0.2416 0.2416 0.2416 0.2416 0.2416 0.2416 0.2416 0.2416 0.2416
Dividend Yield (d) 1.62% 1.62% 1.62% 1.62% 1.62% 1.62% 1.62% 1.62% 1.62% 1.62%
Observed Option Price $105.60 $63.40 $45.50 $40.00 $14.50 $17.70 $32.40 $39.50 $42.00 $76.50
Outputs
d1
d2
N(d1)
N(d2)
Model Call Price (C0)
-d1
-d2
N(-d1)
N(-d2)
Model Put Price (P0)
Solver
Difference (observed - model)
Graph
Implied Volatility from Calls
Implied Volatility from Puts
Implied Volatility
"Scowl" Pattern of Implied Volatilities
23%
21%
19%
17%
15%
Ca
13%
lls
11%
9%
7%
5%
3%
$1,425 $1,450 $1,475 $1,500 $1,525 $1,550 $1,575 $1,600 $1,625
Exercise Price
Stock Price Now (S0) $69.81 69 Asset 2 Stock Price Now (S2) $70.00 70
Standard Dev - Annual (s) 71.65% 7 Asset 2 Standard Dev (s2) 70.1% 7
Time To Maturity - Years (T) 0.5777 6 Time to Chooser Decision (tc) 0.20 2
Dividend Yield (d) 1.00% 1 Cash Payoff (Z) $60.00 60
E...
Gap Amount (g) $4.00 4
Continuous Dividend Black Scholes Outputs Supershare Upper Bound (XH) $75.00 75
d1
Call Price (C0) Max of Two Assets Exotic Options by Stock Price Now
12.00
Chooser
-d1
10.00
-d2 Cash-Or-Nothing Call
N(-d1) Cash-Or-Nothing Put 8.00
N(-d2) 6.00
Asset-Or-Nothing Call
Put Price (P0)
Asset-Or-Nothing Put 4.00
S s 2 s 22 2 rss 2
w1
ln S2 S 0 d d 2 0.5S 2 T
S T
w2 w1 S T
w3
Chooser
Chooser Call Xe rT N w3 s tc S 0e dT N w3
Gap Call e dT S 0 N d1 X g e rT N d 2
wL
ln S0 X L r d 0.5s 2 T
s T
wH
ln S0 X H r d 0.5s 2 T
s T
S0 e d2T
Supershare N wL N wH �
�
XL � �
Data Table: Sensitivity of the Selected Exotic Option to Stock Price Now
Input Values for Stock Price Now
Output Formula:
Selected Exotic Option