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Black-Scholes Template

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					                    Template - Black-Scholes Option Value
Input Data
Stock Price now (P)                                              50
Exercise Price of Option (EX)                                    50
Number of periods to Exercise in years (t)                        5
Compounded Risk-Free Interest Rate (rf)                      3.66%
Standard Deviation (annualized s)                           62.00%


Output Data
Present Value of Exercise Price (PV(EX))                    41.6384
s*t^.5                                                       1.3864
d1                                                           0.8252
d2                                                          -0.5612
Delta N(d1) Normal Cumulative Density Function               0.7954
Bank Loan N(d2)*PV(EX)                                      11.9643

Value of Call                                               27.8040
Value of Put                                                19.4424

				
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posted:9/29/2011
language:English
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