Black Scholes Option Pricing Basics

1,241 views

Published on

0 Comments
0 Likes
Statistics
Notes
  • Be the first to comment

  • Be the first to like this

No Downloads
Views
Total views
1,241
On SlideShare
0
From Embeds
0
Number of Embeds
1
Actions
Shares
0
Downloads
8
Comments
0
Likes
0
Embeds 0
No embeds

No notes for slide

Black Scholes Option Pricing Basics

  1. 1. BLACK SCHOLES OPTION PRICING Basics Inputs Stock Price Now (Ps) $102.50 Standard Dev - Annual (σ) 86.07% Riskfree Rate - Annual (R) 5.47% Exercise Price (E) $100.00 Time To Maturity - Years (T) 0.3556 Outputs d1 0.343 d2 -0.171 N(d1) 0.634 N(d2) 0.432 Call Price (Vc) $22.60 -d1 -0.343 -d2 0.171 N(-d1) 0.366 N(-d2) 0.568 Put Price (Pp) $18.17

×