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Black Scholes Option Pricing Dynamic Chart

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Black Scholes Option Pricing Dynamic Chart Document Transcript

  • 1. BLACK SCHOLES OPTION PRICING Dynamic Chart Dynamic Chart of Black Scholes Option Pricing Inputs $100 Option Type: 1=Call, 0=Put 1 1 $80 Standard Dev - Annual (σ) 90% 9 Option Price $60 Riskfree Rate - Annual (R) 6.0% 6 $40 Exercise Price (E) $100.00 100 $20 Time To Maturity - Yrs (T) 0.40 4 $0 $0 $20 $40 $60 $80 $100 $120 $140 $160 $180 $200 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
  • 2. Call Scholes Option Pricing 0 $100 $120 $140 $160 $180 $200 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