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    Black Scholes Template

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    rizwan_1990
    The document provides an example calculation of the Black-Scholes option pricing model. It gives input data including the current stock price, exercise price, time to expiration, risk-free interest rate, and standard deviation. It then shows the output calculations including the present value of the exercise price, values for d1 and d2, the delta, and values for a call and put option. It notes that the initial output is incorrect and provides a manual working that gives the correct put option value.

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

    Black Scholes Template

    Uploaded by

    rizwan_1990
    24 views12 pages
    The document provides an example calculation of the Black-Scholes option pricing model. It gives input data including the current stock price, exercise price, time to expiration, risk-free interest rate, and standard deviation. It then shows the output calculations including the present value of the exercise price, values for d1 and d2, the delta, and values for a call and put option. It notes that the initial output is incorrect and provides a manual working that gives the correct put option value.

    Original Description:

    Black Scholes Template working calculation

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    The document provides an example calculation of the Black-Scholes option pricing model. It gives input data including the current stock price, exercise price, time to expiration, risk-free interest rate, and standard deviation. It then shows the output calculations including the present value of the exercise price, values for d1 and d2, the delta, and values for a call and put option. It notes that the initial output is incorrect and provides a manual working that gives the correct put option value.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    24 views12 pages

    Black Scholes Template

    Uploaded by

    rizwan_1990
    The document provides an example calculation of the Black-Scholes option pricing model. It gives input data including the current stock price, exercise price, time to expiration, risk-free interest rate, and standard deviation. It then shows the output calculations including the present value of the exercise price, values for d1 and d2, the delta, and values for a call and put option. It notes that the initial output is incorrect and provides a manual working that gives the correct put option value.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    You are on page 1of 12

    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)

    17
    16.5
    0.5
    0.07%
    0.12%

    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)

    16.4942
    0.0008
    35.5950
    35.5941
    1.0000
    16.4942

    Value of Call
    Value of Put
    Above working (highlighted in red box) donot give the right answer

    0.5058
    0.0000

    Above format not giving the correct answer so I made below working (It gives correct one)
    <-----Colour denote to Put values manually
    Made by Rizwan

    Pa
    Pe
    r
    t
    s
    Square root of "t"

    d1

    400
    440
    6%
    0.5
    30%
    0.7071068

    -0.0428102
    0.212132

    Put this Figure Manually from N

    d1

    -0.202

    Value of d1 in Normal dist. Tab

    d2

    -0.414

    Value of d2 in Normal dist. Tab

    N(d1)

    0.4199

    0.03
    0.970445553

    N(d2)

    C= (ANSWER)

    0.3387

    23.34

    his Figure Manually from Normal distrubution table

    e of d1 in Normal dist. Table

    0.0801

    e of d2 in Normal dist. Table

    0.1613

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