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    Ex3 Put Option

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    P Marpaung
    This document presents the Black-Scholes formula for calculating the price of a European call and put option. It provides the parameter values used in the example calculation for copper prices between 1991-2019. The results show the calculated call and put prices are $2,699.87 and $393.82 respectively, with their difference equal to the stock price minus the strike price discounted at the risk-free rate, satisfying the call-put parity relationship.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Ex3 Put Option

    Uploaded by

    P Marpaung
    26 views5 pages
    This document presents the Black-Scholes formula for calculating the price of a European call and put option. It provides the parameter values used in the example calculation for copper prices between 1991-2019. The results show the calculated call and put prices are $2,699.87 and $393.82 respectively, with their difference equal to the stock price minus the strike price discounted at the risk-free rate, satisfying the call-put parity relationship.

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    6. ex3 Put option

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    6. ex3 Put option

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    This document presents the Black-Scholes formula for calculating the price of a European call and put option. It provides the parameter values used in the example calculation for copper prices between 1991-2019. The results show the calculated call and put prices are $2,699.87 and $393.82 respectively, with their difference equal to the stock price minus the strike price discounted at the risk-free rate, satisfying the call-put parity relationship.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    26 views5 pages

    Ex3 Put Option

    Uploaded by

    P Marpaung
    This document presents the Black-Scholes formula for calculating the price of a European call and put option. It provides the parameter values used in the example calculation for copper prices between 1991-2019. The results show the calculated call and put prices are $2,699.87 and $393.82 respectively, with their difference equal to the stock price minus the strike price discounted at the risk-free rate, satisfying the call-put parity relationship.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 5

    𝐶=𝑆_𝑡×𝑁(𝑑_1 )−𝐾×𝑒𝑥𝑝(−𝑟×(𝑇−𝑡))×𝑁(𝑑_2 )

    𝑃=𝐾×𝑒𝑥𝑝(−𝑟×(𝑇−𝑡))×𝑁( 〖−𝑑〗 _2 )
    −𝑆_𝑡×𝑁( 〖−𝑑〗 _1 )
    𝑑_1= (𝑙𝑛(𝑆_𝑡/𝐾)+ (𝑟+𝜎^2/2) × (𝑇−𝑡))/(𝜎 ×
    𝑑_2=𝑑_1−𝜎 × √((𝑇−𝑡))

    Tahun Copper price Returns


    1991 $ 2,338.78 St $ 6,010.15
    1992 $ 2,281.16 -0.02 K $ 5,000.00
    1993 $ 1,913.08 -0.16 r 3.00%
    1994 $ 2,307.42 0.21 T (year) 10
    1995 $ 2,935.61 0.27 sigma 0.21
    1996 $ 2,294.86 -0.22 t (year) 0
    1997 $ 2,276.77 -0.01
    1998 $ 1,654.06 -0.27 d1 1.07
    1999 $ 1,572.86 -0.05 -d1 -1.07
    2000 $ 1,813.47 0.15 d2 0.42
    2001 $ 1,578.29 -0.13 -d2 -0.42
    2002 $ 1,559.48 -0.01
    2003 $ 1,779.15 0.14
    2004 $ 2,865.89 0.61 N(d1) 0.858
    2005 $ 3,678.88 0.28 N(-d1) 0.142
    2006 $ 6,722.14 0.83 N(d2) 0.663
    2007 $ 7,118.23 0.06 N(-d2) 0.337
    2008 $ 6,955.88 -0.02
    2009 $ 5,149.74 -0.26
    2010 $ 7,534.78 0.46
    2011 $ 8,828.19 0.17
    2012 $ 7,962.35 -0.10
    2013 $ 7,332.10 -0.08
    2014 $ 6,863.40 -0.06
    2015 $ 5,510.46 -0.20
    2016 $ 4,867.90 -0.12
    2017 $ 6,169.94 0.27
    2018 $ 6,529.80 0.06
    2019 $ 6,010.15 -0.08
    C/P = Call/Put
    −𝑡))×𝑁(𝑑_2 ) St = Value underlying asset.
    d1 = probability.
    〗 _2 ) K = strike price.
    r = risk-free rate
    T = time to expiration.
    t = Time in calculation (now = 0).
    × (𝑇−𝑡))/(𝜎 × √(𝑇−𝑡)) d2 = prob, the option is attractive
    N(.) = CDF Normal dist.
    𝜎 = Volatility.

    Call $ 2,699.87
    Put $ 393.82

    C-P $ 2,306.05
    St-Ke-rT $ 2,306.05

    Call-Put parity:
    𝐶−𝑃=𝑆_𝑡−𝐾×(−𝑟𝑇)
    $4,606.18
    /Put Disusun oleh: Aldin Ardian (
    underlying asset.
    ability.
    price.
    ee rate
    o expiration.
    n calculation (now = 0).
    , the option is attractive.
    F Normal dist.
    lity.

    $5,000

    $4,606.18
    n oleh: Aldin Ardian ([email protected])

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