Question

Compute the value of an option using the Black-Scholes formula. Underlying equity price = 50, one month to expiration, risk-free rate 0 4%, strike price = 50, volatility = 40%, dividends = 0.

Answer 1

THE BLACK-SCHOLES OPTION PRICING FORMULA
INPUT PANEL: ENTER OPTION DATA
T		30		Time to Maturity (days)
Sigma		40.00%		Stock Price Volatility (enter in percentage form)
X		50.00		Exercise Price
r		0.40%		Interest Rate (enter in percentage form)
S		50.00		Stock Price
OUTPUT PANEL:
C		2.29		Black-Scholes Call Price
Delta		0.52		Delta (Hedge Ratio)
E		11.42		Elasticity*
P		2.28		Black-Scholes Put Price
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*Percent change in call from a one percent change in the stock price
Tau		0.08
SQRT(Tau)		0.2867
r*Tau		0.0003
Exp(-rTau)		0.9997
Sigma*SQRT(Tau)		0.1147
ln(S/PV(K))		0.0003
d1		0.0602
d2		-0.0545
N(d1)		0.524004
N(d2)		0.47828