Question 18 Question 19
Black-Scholes Directly in a Excel Sheet Black-Scholes Directly in a Excel Sheet
Original spreadsheet by Espen Gaarder Haug Original spreadsheet by Espen Gaarder Haug
Stock price 62.00000000 S Stock price 52.00000000 S
Strike price 70.00000000 X Strike price 48.00000000 X
Years to maturity 0.07692308 T Years to maturity 0.32876712 T
Risk-free rate 0.05000000 r Risk-free rate 0.05000000 r
Volatility 0.59160798 v Volatility 0.20000000 v
European call value 1.49679241 call value European call value 5.41665634 call value
European put value 9.22807873 put value European put value 0.63406512 put value
0.262991014 -0.63415139 d1 0.89867117
0.212367379 -0.79823392 d2 0.78399473
Question 20 Question 21
Black-Scholes Directly in a Excel Sheet Black-Scholes Directly in a Excel Sheet
Original spreadsheet by Espen Gaarder Haug Original spreadsheet by Espen Gaarder Haug
Stock price 70.00000000 S Stock price 28.00000000
Strike price 90.00000000 X Strike price 40.00000000
Years to maturity 0.50000000 T Years to maturity 0.50000000
Risk-free rate 0.06000000 r Risk-free rate 0.06000000
Volatility 0.50000000 v Volatility 0.70710678
European call value 4.43117596 call value European call value 2.50340710
European put value 21.77127398 put value European put value 13.32122845
d1 -0.44919504 d1
d2 -0.80274843 d2
Question 22
Black-Scholes Directly in a Excel Sheet
Original spreadsheet by Espen Gaarder Haug
S Stock price 52.00000000 S
X Strike price 55.00000000 X
T Years to maturity 0.50000000 T
r Risk-free rate 0.04000000 r
v Volatility 0.24000000 v
call value European call value 2.70593320 call value
put value European put value 4.61686023 put value
-0.40334989 d1 -0.12780641 d1
-0.90334989 d2 -0.29751204 d2