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    Option Example

    Uploaded by

    Karen Liu
    This document illustrates how to use a spreadsheet to calculate option prices using the Black-Scholes formula. It provides the Black-Scholes calculations for a call and put option using sample parameters. The spreadsheet also generates graphs showing how changes to the underlying stock price, expiration date, and volatility affect the call price, put price, and delta. Users can alter the parameters to explore their effects on the Black-Scholes calculations.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd

    Option Example

    Uploaded by

    Karen Liu
    36 views7 pages
    This document illustrates how to use a spreadsheet to calculate option prices using the Black-Scholes formula. It provides the Black-Scholes calculations for a call and put option using sample parameters. The spreadsheet also generates graphs showing how changes to the underlying stock price, expiration date, and volatility affect the call price, put price, and delta. Users can alter the parameters to explore their effects on the Black-Scholes calculations.

    Original Description:

    Black Scholes

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    This document illustrates how to use a spreadsheet to calculate option prices using the Black-Scholes formula. It provides the Black-Scholes calculations for a call and put option using sample parameters. The spreadsheet also generates graphs showing how changes to the underlying stock price, expiration date, and volatility affect the call price, put price, and delta. Users can alter the parameters to explore their effects on the Black-Scholes calculations.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    36 views7 pages

    Option Example

    Uploaded by

    Karen Liu
    This document illustrates how to use a spreadsheet to calculate option prices using the Black-Scholes formula. It provides the Black-Scholes calculations for a call and put option using sample parameters. The spreadsheet also generates graphs showing how changes to the underlying stock price, expiration date, and volatility affect the call price, put price, and delta. Users can alter the parameters to explore their effects on the Black-Scholes calculations.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
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    45

    40

    35
    Call Price

    30

    25

    20

    15

    10

    0 Current Stock Price


    80 85 90 95 100 105 110 115 120 125 130
    Put Price

    12

    10
    Put Price

    0
    80 85 90 95 100 105 110 115 120 125 130
    Stock Price
    Delta For a Short Put Position

    12

    10

    8
    Delta

    0
    80 85 90 95 100 105Price 110
    Stock 115 120 125 130
    This file illustrates how to program in Black-Scholes Option Prices. By changing the arguments in lines 8 - 13, you will alter th
    lines 18 and 19. In addition, after line 23, this file computes call and put prices as well as deltas for calls and puts and short pu
    If you change the arguments in lines 9-13, it affects the option prices below line 13. It also affects the graphs in
    charts 1 - 3. Feel free to make additional graphs and charts and use this spread sheet to explore the properties of Black Scho
    Also, look at the forumula in cells B18, and B15 and B16 to see how the Black Scholes formula is programmed in Excel.

    To look at the information in this sheet, here are a few parameter choices to consider.
    1) Start with T = 1, Sigma = 0.3. Use this as a baseline.
    2) Study what happens to the option prices in the charts when T = .001 (the option expires in a few hours) and sigma = .001.
    3) Study cases in which T is small (0.1) and study how varying sigma, r, and the div yield affect the prices of the options and th

    S 100
    X 95
    T 1
    Sigma 0.3
    Risk Free 0.1

    d_1 0.654311
    d_2 0.354311

    Call Price 19.4738


    Put Price 5.433354

    This illustrates how to compute the price of call using the black-Scholes formula.

    S- Price d_1 d_2 Call Price Put Price Delta Call Delta Put
    85 0.112581 -0.187419 9.719518 10.67907 0.544819 0.455181
    86 0.151568 -0.148432 10.27207 10.23162 0.560236 0.439764
    87 0.190104 -0.109896 10.8399 9.799456 0.575386 0.424614
    88 0.2282 -0.0718 11.42275 9.3823 0.590255 0.409745
    89 0.265865 -0.034135 12.02031 8.979867 0.604828 0.395172
    90 0.303109 0.003109 12.6323 8.591855 0.619097 0.380903
    91 0.339942 0.039942 13.2584 8.217955 0.63305 0.36695
    92 0.376372 0.076372 13.89829 7.857847 0.64668 0.35332
    93 0.412409 0.112409 14.55165 7.511205 0.65998 0.34002
    94 0.44806 0.14806 15.21814 7.177696 0.672945 0.327055
    95 0.483333 0.183333 15.89743 6.856982 0.68557 0.31443
    96 0.518238 0.218238 16.58917 6.548722 0.697854 0.302146
    97 0.55278 0.25278 17.29302 6.252574 0.709793 0.290207
    98 0.586969 0.286969 18.00864 5.968194 0.721388 0.278612
    99 0.62081 0.32081 18.73568 5.695235 0.732638 0.267362
    100 0.654311 0.354311 19.4738 5.433354 0.743544 0.256456
    101 0.687479 0.387479 20.22265 5.18221 0.754109 0.245891
    102 0.72032 0.42032 20.98191 4.94146 0.764336 0.235664
    103 0.75284 0.45284 21.75121 4.71077 0.774227 0.225773
    104 0.785047 0.485047 22.53025 4.489804 0.783787 0.216213
    105 0.816945 0.516945 23.31868 4.278235 0.79302 0.20698
    106 0.848541 0.548541 24.11618 4.075737 0.801932 0.198068
    107 0.87984 0.57984 24.92244 3.881992 0.810527 0.189473
    108 0.910848 0.610848 25.73713 3.696687 0.818812 0.181188
    109 0.94157 0.64157 26.55996 3.519515 0.826794 0.173206
    110 0.972012 0.672012 27.39062 3.350175 0.834478 0.165522
    111 1.002178 0.702178 28.22882 3.188374 0.841871 0.158129
    112 1.032073 0.732073 29.07427 3.033823 0.848981 0.151019
    113 1.061703 0.761703 29.92669 2.886244 0.855815 0.144185
    114 1.091072 0.791072 30.78581 2.745363 0.862379 0.137621
    115 1.120184 0.820184 31.65136 2.610915 0.868682 0.131318
    116 1.149044 0.849044 32.52309 2.482643 0.874731 0.125269
    117 1.177657 0.877657 33.40074 2.360295 0.880533 0.119467
    118 1.206026 0.906026 34.28408 2.24363 0.886096 0.113904
    119 1.234155 0.934155 35.17286 2.132411 0.891427 0.108573
    120 1.26205 0.96205 36.06686 2.02641 0.896535 0.103465
    121 1.289712 0.989712 36.96585 1.925407 0.901425 0.098575
    122 1.317147 1.017147 37.86963 1.82919 0.906105 0.093895
    123 1.344358 1.044358 38.778 1.737551 0.910584 0.089416
    124 1.371349 1.071349 39.69074 1.650292 0.914867 0.085133
    125 1.398123 1.098123 40.60767 1.567222 0.918962 0.081038
    lines 8 - 13, you will alter the prices of the call and put in
    or calls and puts and short put positions (you write a put).
    s the graphs in
    the properties of Black Scholes option prices.
    programmed in Excel.

    w hours) and sigma = .001. What do you expect for prices what do you find?
    e prices of the options and their hedge ratios (deltas).
    Implied Vols

    S 1245
    X 1125
    T 0.5
    Sigma 0.27181
    Risk Free 0

    d_1 0.623432
    d_2 0.431233

    Call Price 163


    Put Price 43

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