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Black Scholes

The document contains examples of using the Black-Scholes option pricing model to calculate call option values for different stocks. It provides the current stock price, exercise price, risk-free interest rate, expected option life, volatility, dividend yield, and calculated call option value for 5 stocks. The model is being used in a spreadsheet to calculate call option prices based on the input values provided.

Uploaded by

Marvin Liu
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We take content rights seriously. If you suspect this is your content, claim it here.
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138 views7 pages

Black Scholes

The document contains examples of using the Black-Scholes option pricing model to calculate call option values for different stocks. It provides the current stock price, exercise price, risk-free interest rate, expected option life, volatility, dividend yield, and calculated call option value for 5 stocks. The model is being used in a spreadsheet to calculate call option prices based on the input values provided.

Uploaded by

Marvin Liu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Black-Scholes Option Pricing Model with Divid

Current Stock Price $114.00


Exercise Price $132.50
Risk-Free Interest Rate 1.00%
Expected Life of Option 0.08 years
Volatility 21.0%
Dividend Yield 3%

Call Option Value $ 0.01

Note: Enter values in the light cells in the spreadsheet.


Black-Scholes Option Pricing Model with Divid

Current Stock Price $449.80


Exercise Price $500.00
Risk-Free Interest Rate 2.10% 18-Jan
Expected Life of Option 0.45 years 30-Jun
Volatility 35.0%
Dividend Yield 0.2%

Call Option Value $ 24.81

Note: Enter values in the light cells in the spreadsheet.


Black-Scholes Option Pricing Model with Divid

Current Stock Price $ 7.22


Exercise Price $ 8.75
Risk-Free Interest Rate 1.20% 2-Feb
Expected Life of Option 0.16 years 31-Mar
Volatility 60.0%
Dividend Yield 2.1%

Call Option Value $ 0.22

Note: Enter values in the light cells in the spreadsheet.


Black-Scholes Option Pricing Model with Divid

Current Stock Price $ 22.85


Exercise Price $ 28.00
Risk-Free Interest Rate 1.20% 2-Feb
Expected Life of Option 0.16 years 31-Mar
Volatility 39.0%
Dividend Yield 4.3%

Call Option Value $ 0.16

Note: Enter values in the light cells in the spreadsheet.


Black-Scholes Option Pricing Model with Divid

Current Stock Price $ 81.00


Exercise Price $ 92.50
Risk-Free Interest Rate 1.20% 7-Feb
Expected Life of Option 0.14 years 31-Mar
Volatility 22.0%
Dividend Yield 4.9%

Call Option Value $ 0.14

Note: Enter values in the light cells in the spreadsheet.

0.59 9 5.31
0.09 31 2.79
8.10
0.2025
Share price 0 1080 1140 1200 2000 3000
put cost -60 -60 -60 -60 -60 -60
Gain on share -1200 -120 -60 0 800 1800
put value 1200 120 60 0 0 0
gain/loss on put 1140 60 0 -60 -60 -60

net portfolio -60 -60 -60 -60 740 1740

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