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BS Opm

BS OPM

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Shijo Thomas
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51 views2 pages

BS Opm

BS OPM

Uploaded by

Shijo Thomas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Black-Scholes Option Pricing Model

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

0.109589
$60.00
$62.00
32.00%
4.00%

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

0.082192
$40.00
$42.50
50.00%
3.00%

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Speculative Prem.
Put Option Value
Intrinsic Value
Speculative Prem.

0.403879
0.297945
0.656849
0.617128
$3.86
$2.00
$1.86
$1.60
$0.00
$1.60

d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Speculative Prem.
Put Option Value
Intrinsic Value
Speculative Prem.

0.511801
0.368455
0.695605
0.643733
$3.88
$2.50
$1.38
$1.28
$0.00
$1.28

d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Speculative Prem.
Put Option Value
Intrinsic Value
Speculative Prem.

Call
Delta
Gamma
Theta
Vega
Rho

0.6568
0.0560
-12.4930
7.5468
4.040077

Call
Delta
Gamma
Theta
Vega
Rho

0.6956
0.0574
-13.7407
4.2642
2.111171

Call
Delta
Gamma
Theta
Vega
Rho

Put
Delta
Gamma
Theta
Vega
Rho

-0.3432
0.0560
-10.1035
7.5468
-2.506505

Put
Delta
Gamma
Theta
Vega
Rho

-0.3044
0.0574
-12.5437
4.2642
-1.168404

Put
Delta
Gamma
Theta
Vega
Rho

0.082192
$40.00
$42.50
50.00%
3.00%
0.511801
0.368455
0.695605
0.643733
$3.88
$2.50
$1.38
$1.28
$0.00
$1.28

0.6956
0.0574
-13.7407
4.2642
2.111171

-0.3044
0.0574
-12.5437
4.2642
-1.168404

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