BLACK SCHOLES OPTION PRICING                                                                        Implied Volatility
Inp...
0         0
               $1,403    $1,403
               5.34%     5.34%
               $1,425    $1,450
               ...
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Black Scholes Option Pricing Implied Volatility

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Transcript of "Black Scholes Option Pricing Implied Volatility"

  1. 1. BLACK SCHOLES OPTION PRICING Implied Volatility Inputs Option Type: 1=Call, 0=Put 1 1 1 1 1 0 0 0 Stock Price Now (Ps) $1,403 $1,403 $1,403 $1,403 $1,403 $1,403 $1,403 $1,403 Riskfree Rate - Annual (R) 5.34% 5.34% 5.34% 5.34% 5.34% 5.34% 5.34% 5.34% Exercise Price (E) $1,350 $1,375 $1,400 $1,425 $1,450 $1,350 $1,375 $1,400 Time To Maturity - Yrs (T) 0.1028 0.1028 0.1028 0.1028 0.1028 0.1028 0.1028 0.1028 Dividend yield (d) 1.18% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18% 1.18% Observed Option Price $81.00 $66.25 $46.00 $31.00 $19.25 $18.00 $23.63 $30.50 Outputs d1 0.556 0.329 0.125 -0.129 -0.419 0.612 0.389 0.136 d2 0.472 0.244 0.051 -0.198 -0.482 0.537 0.320 0.073 N(d1) 0.711 0.629 0.550 0.448 0.338 0.730 0.651 0.554 N(d2) 0.682 0.596 0.520 0.422 0.315 0.704 0.625 0.529 Model Call Price (Vc) $81.00 $66.25 $46.00 $31.00 $19.25 $76.86 $57.62 $39.63 -d1 -0.556 -0.329 -0.125 0.129 0.419 -0.612 -0.389 -0.136 -d2 -0.472 -0.244 -0.051 0.198 0.482 -0.537 -0.320 -0.073 N(-d1) 0.289 0.371 0.450 0.552 0.662 0.270 0.349 0.446 N(-d2) 0.318 0.404 0.480 0.578 0.685 0.296 0.375 0.471 Model Put Price (Pp) $22.14 $32.25 $36.87 $46.73 $59.84 $18.00 $23.62 $30.50 Solver Differ (observed - model) 0 0 0 0 0 0 0 0 Implied Volatility from Calls 26.03% 26.73% 23.11% 21.28% 19.78% Implied Volatility from Puts 23.30% 21.60% 19.52% "Scowl" Pattern of Implied Volatilities 30% Implied Volatility (Calls,Puts) 27% 24% 21% 18% 15% $1,325 $1,350 $1,375 $1,400 $1,425 $1,450 $1,475 Exercise Price
  2. 2. 0 0 $1,403 $1,403 5.34% 5.34% $1,425 $1,450 0.1028 0.1028 1.18% 1.18% $41.50 $55.00 -0.161 -0.504 -0.219 -0.558 0.436 0.307 0.413 0.288 $25.77 $14.41 0.161 0.504 0.219 0.558 0.564 0.693 0.587 0.712 $41.50 $55.00 0 0 18.33% 16.78% Volatilities $1,425 $1,450 $1,475

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