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    Black Scholes Option Pricing - Dynamic Chart

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    Rock11
    The document summarizes the Black-Scholes option pricing model. It provides the inputs and outputs for pricing a call option with the stock price varying from $0.01 to $200. The key outputs are the option price, the values for d1 and d2, the probabilities N(d1) and N(d2), and the call and put prices calculated using the Black-Scholes formula for varying stock prices. Plots are provided that show the relationship between the option price and the underlying stock price based on the Black-Scholes model.

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    Black Scholes Option Pricing - Dynamic Chart

    Uploaded by

    Rock11
    101 views2 pages
    The document summarizes the Black-Scholes option pricing model. It provides the inputs and outputs for pricing a call option with the stock price varying from $0.01 to $200. The key outputs are the option price, the values for d1 and d2, the probabilities N(d1) and N(d2), and the call and put prices calculated using the Black-Scholes formula for varying stock prices. Plots are provided that show the relationship between the option price and the underlying stock price based on the Black-Scholes model.

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    Black Scholes Option Pricing - Dynamic Chart.xls

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    The document summarizes the Black-Scholes option pricing model. It provides the inputs and outputs for pricing a call option with the stock price varying from $0.01 to $200. The key outputs are the option price, the values for d1 and d2, the probabilities N(d1) and N(d2), and the call and put prices calculated using the Black-Scholes formula for varying stock prices. Plots are provided that show the relationship between the option price and the underlying stock price based on the Black-Scholes model.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    101 views2 pages

    Black Scholes Option Pricing - Dynamic Chart

    Uploaded by

    Rock11
    The document summarizes the Black-Scholes option pricing model. It provides the inputs and outputs for pricing a call option with the stock price varying from $0.01 to $200. The key outputs are the option price, the values for d1 and d2, the probabilities N(d1) and N(d2), and the call and put prices calculated using the Black-Scholes formula for varying stock prices. Plots are provided that show the relationship between the option price and the underlying stock price based on the Black-Scholes model.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 2

    BLACK SCHOLES OPTION PRICING Dynamic Chart

    Inputs Dynamic Chart of Black Scholes Option Pricing


    $100.00
    Option Type: 1=Call, 0=Put 1 1
    $80.00
    Standard Dev - Annual (s) 90% 9
    $60.00

    Option Price
    Riskfree Rate - Annual (R) 6.0% 6
    $40.00
    Exercise Price (E) $100.00 100
    $20.00
    Time To Maturity - Yrs (T) 0.40 4
    $0.00
    $0.00 $50.00 $100.00 $150.00 $200.00
    Stock Price Now
    Dynamic Chart Outputs
    Stock Price Now (Ps) $0.01 $20.00 $40.00 $60.00 $80.00 $100.00 $120.00
    Option Price $0.00 $0.02 $0.88 $4.66 $12.30 $23.40 $37.16
    Intrinsic Value

    d1 -15.815 -2.493 -1.279 -0.568 -0.064 0.327 0.647


    d2 -16.386 -3.064 -1.849 -1.138 -0.634 -0.243 0.076
    N(d1) 0.000 0.006 0.101 0.285 0.475 0.628 0.741
    N(d2) 0.000 0.001 0.032 0.127 0.263 0.404 0.530
    Call Price (Vc) $0.00 $0.02 $0.88 $4.66 $12.30 $23.40 $37.16

    -d1 15.815 2.493 1.279 0.568 0.064 -0.327 -0.647


    -d2 16.386 3.064 1.849 1.138 0.634 0.243 -0.076
    N(-d1) 1.000 0.994 0.899 0.715 0.525 0.372 0.259
    N(-d2) 1.000 0.999 0.968 0.873 0.737 0.596 0.470
    Put Price (Pp) $97.61 $77.64 $58.50 $42.28 $29.92 $21.02 $14.78
    Call
    Scholes Option Pricing

    $100.00 $150.00 $200.00


    k Price Now

    $140.00 $160.00 $180.00 $200.00 $0.01 $100.00 $200.00


    $52.82 $69.81 $87.71 $106.24
    $0.00 $0.00 $100.00

    0.917 1.151 1.358 1.542 -15.815 0.327 1.542


    0.347 0.581 0.787 0.972 -16.386 -0.243 0.972
    0.820 0.875 0.913 0.939 0.000 0.628 0.939
    0.636 0.719 0.784 0.834 0.000 0.404 0.834
    $52.82 $69.81 $87.71 $106.24

    -0.917 -1.151 -1.358 -1.542 15.815 -0.327 -1.542


    -0.347 -0.581 -0.787 -0.972 16.386 0.243 -0.972
    0.180 0.125 0.087 0.061 1.000 0.372 0.061
    0.364 0.281 0.216 0.166 1.000 0.596 0.166
    $10.44 $7.43 $5.34 $3.87 $97.61 $21.02 $3.87

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