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  • BS Opm

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    Prabhakar Sharma
    34 views2 pages
    BLACK SCOLES RESEARCH MODEL

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    BS OPM

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    BLACK SCOLES RESEARCH MODEL

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    34 views2 pages

    BS Opm

    Uploaded by

    Prabhakar Sharma
    BLACK SCOLES RESEARCH MODEL

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Black-Scholes Option Pricing Model

    Time to Expiration
    Exercise Price
    Current Stock Price
    Volatility
    Risk-Free Rate

    0.109589
    $60.00
    $62.00
    32.00%
    4.00%

    Time to Expiration
    Exercise Price
    Current Stock Price
    Volatility
    Risk-Free Rate

    0.082192
    $40.00
    $42.50
    50.00%
    3.00%

    Time to Expiration
    Exercise Price
    Current Stock Price
    Volatility
    Risk-Free Rate

    d1
    d2
    N(d1)
    N(d2)
    Call Option Value
    Intrinsic Value
    Speculative Prem.
    Put Option Value
    Intrinsic Value
    Speculative Prem.

    0.403879
    0.297945
    0.656849
    0.617128
    $3.86
    $2.00
    $1.86
    $1.60
    $0.00
    $1.60

    d1
    d2
    N(d1)
    N(d2)
    Call Option Value
    Intrinsic Value
    Speculative Prem.
    Put Option Value
    Intrinsic Value
    Speculative Prem.

    0.511801
    0.368455
    0.695605
    0.643733
    $3.88
    $2.50
    $1.38
    $1.28
    $0.00
    $1.28

    d1
    d2
    N(d1)
    N(d2)
    Call Option Value
    Intrinsic Value
    Speculative Prem.
    Put Option Value
    Intrinsic Value
    Speculative Prem.

    Call
    Delta
    Gamma
    Theta
    Vega
    Rho

    0.6568
    0.0560
    -12.4930
    7.5468
    4.040077

    Call
    Delta
    Gamma
    Theta
    Vega
    Rho

    0.6956
    0.0574
    -13.7407
    4.2642
    2.111171

    Put
    Delta
    Gamma
    Theta
    Vega
    Rho

    -0.3432
    0.0560
    -10.1035
    7.5468
    -2.50651

    Put
    Delta
    Gamma
    Theta
    Vega
    Rho

    -0.3044
    0.0574
    -12.5437
    4.2642
    -1.1684

    Time to Expiration
    Exercise Price
    Current Stock Price
    Risk-Free Rate

    0.082192
    $40.00
    $42.50
    50.00%
    3.00%

    Call Option Value


    Intrinsic Value
    Speculative Prem.
    Put Option Value
    Intrinsic Value
    Speculative Prem.

    0.511801
    0.368455
    0.695605
    0.643733
    $3.88
    $2.50
    $1.38
    $1.28
    $0.00
    $1.28

    Call
    Delta
    Gamma
    Theta
    Vega
    Rho

    0.6956
    0.0574
    -13.7407
    4.2642
    2.111171

    Put
    Delta
    Gamma
    Theta
    Vega
    Rho

    -0.3044
    0.0574
    -12.5437
    4.2642
    -1.1684

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