In: Finance
Please make an Excel Graph with 50 data points and show
the formulas used
I will thumbs up your answer!
Computation of value of call using Black Scholes model: |
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C0 |
= S0*N(d1) - (X/e^rt)*N(d2) |
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where, |
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S0 |
= Stock Price = 240 |
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X |
= Strick Price = 250 |
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r |
= Interest Rate = 2% p.a |
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t |
= 0.5 year |
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SD |
= Standard Deviation |
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d1 |
= (log(S0/X)+(r+SD^2/2)t)/(SD*√t)) |
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d2 |
= (log(S0/X)+(r - (SD^2/2))t)/(SD*√t)) |
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Basic Calculations: |
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log(S0/X) |
= Log(240/250) |
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= log (0.96) |
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= - 0.01773 |
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e^rt |
= e^(0.02*0.5) |
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= e^0.01 |
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= 1.0101 |
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X/e^rt |
= 250/1.0101 |
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= 247.50 |
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At SD |
d1 |
d2 |
N(d1) |
N(d2) |
C0 |
|
0.20 |
0.02 |
-0.13 |
0.0080 |
0.4483 |
-109.034 |
|
0.25 |
0.04 |
-0.13 |
0.0160 |
0.4483 |
-107.114 |
|
0.28 |
0.06 |
-0.14 |
0.0239 |
0.4443 |
-104.228 |
|
0.30 |
0.07 |
-0.14 |
0.0279 |
0.4443 |
-103.268 |
|
0.35 |
0.09 |
-0.15 |
0.0359 |
0.4404 |
-100.383 |
|
0.40 |
0.11 |
-0.17 |
0.0439 |
0.4325 |
-96.5078 |
|
0.45 |
0.13 |
-0.18 |
0.0517 |
0.4286 |
-93.6705 |
|
0.50 |
0.15 |
-0.20 |
0.0596 |
0.4207 |
-89.8193 |
|