FINA 6750 Urgent

Black-Scholes-Merton & Binomial

Inputs: Black-Scholes-Merton Model Binomial Model
Asset price (S0) 699.49 European European Steps: 100
Exercise price (X) 695 Call Put European European
Time to expiration (T) 0.1288 Price 18.8015 9.9471 Call Put
Standard deviation (s) 14.00% Delta (D) 0.6098 -0.3902 Price 13.5523 12.0788
Risk-free rate (r or rc) 4.89% Gamma (G) 0.0109 0.0109 Delta (D) 0.5700 -0.4300
Dividends: 0.00% Theta (Q) -72.3091 -38.5218 Gamma (G) 0.0121 0.0121
continuous yield (dc) or discrete dividends below: Vega 96.3225 96.3225 Theta (Q) -68.9155 -63.3643
Rho 52.5009 -36.4301 American Call American
Call Put
d1 0.2787 Price 13.5523 12.1121
d2 0.2285 Delta (D) 0.5700 -0.4316
N(d1) 0.6098 Gamma (G) 0.0121 0.0121
N(d2) 0.5904 Theta (Q) -68.9155 -63.7694
PV of divs 0.0000
PV of strike 690.6356
Dividend # Dividend Time to ex date Present Value S – PV divs 699.4900
1 0.0000
2 0.0000
3 0.0000
4 0.0000
5 0.0000
6 0.0000
7 0.0000
8 0.0000
9 0.0000
10 0.0000
11 0.0000
12 0.0000
13 0.0000
14 0.0000
15 0.0000
16 0.0000
17 0.0000
18 0.0000
19 0.0000
20 0.0000
21 0.0000
22 0.0000
23 0.0000
24 0.0000
25 0.0000
26 0.0000
27 0.0000
28 0.0000
29 0.0000
30 0.0000
31 0.0000
32 0.0000
33 0.0000
34 0.0000
35 0.0000
36 0.0000
37 0.0000
38 0.0000
39 0.0000
40 0.0000
41 0.0000
42 0.0000
43 0.0000
44 0.0000
45 0.0000
46 0.0000
47 0.0000
48 0.0000
49 0.0000
50 0.0000
51 0.0000
52 0.0000
53 0.0000
54 0.0000
55 0.0000
56 0.0000
57 0.0000
58 0.0000
59 0.0000
60 0.0000
61 0.0000
62 0.0000
63 0.0000
64 0.0000
65 0.0000
66 0.0000
67 0.0000
68 0.0000
69 0.0000
70 0.0000
71 0.0000
72 0.0000
73 0.0000
74 0.0000
75 0.0000
76 0.0000
77 0.0000
78 0.0000
79 0.0000
80 0.0000
81 0.0000
82 0.0000
83 0.0000
84 0.0000
85 0.0000
86 0.0000
87 0.0000
88 0.0000
89 0.0000
90 0.0000
91 0.0000
92 0.0000
93 0.0000
94 0.0000
95 0.0000
96 0.0000
97 0.0000
98 0.0000
99 0.0000
100 0.0000
= = = =
Sum 0.0000
Do not change the items below******************************
discrete 2 continuous risk-free rate
continuous

BLACK-SCHOLES & BINOMIAL OPTION PRICING MODELS bsbin3.xls

In lieu of a continuously compounded yield, place below up to one hundred discrete dividends and the time in years to each ex-dividend date. Leave all unused cells blank. Set the yield above to zero. If yield is not set to zero, all discrete dividends are disregarded.

Black-Scholes-Merton and Binomial Option Pricing 10e

Run Binomial Model

Instructions

Instructions: Insert values in highlighted cells. Risk-free rate, standard deviation and yield can be entered as decimal or percentage (e.g., .052 or 5.2 for 5.2 %). Select form (discrete or continuous) for risk-free rate. Black-Scholes values automatically recalculate. Click on “Run Binomial Option Pricing Model” button to recalculate binomial values. Input cells have double borders. Output cells have single borders. Up to 5,000 time steps can be used in the binomial model. Input a continuous dividend yield or up to 0 discrete dividends. Do not enter both or the discrete dividends will be ignored. This spreadsheet can be used to calculate options on forwards or futures using the Black variation of the Black-Scholes model. Input the forward or futures price instead of the asset price and input the risk-free rate as both the risk-free rate and the dividend yield. Do not enter discrete dividends. To price foreign currency options, input the spot rate as the asset price, the domestic interest rate as the risk-free rate and the foreign interest rate as the dividend yield. Do not enter discrete dividends.

About

Written by Don M. Chance and Robert Brooks For use with An Introduction to Derivatives and Risk Management, 10th ed. (Mason, Ohio: Cengage, 2015) Date: 7/09 Last updated: 3/18/14 © 2015 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly accessible website, in whole or in part.

s

s

s

=

=

++

=

=

012

201

‘2

0

1

21

()-()

(1-())-(1-())

ln(/)(/2)

c

c

rT

rT

c

BlackScholesMerton

cSNdXeNd

pXeNdSNd

where

SXrT

d

T

ddT

-‘012-‘201’20121–()-()(1-())-(1-())ln(/)(/2)-ccrTrTcBlackScholesMertoncSNdXeNdpXeNdSNdwhereSXrTdTddT

+-

=

+

+-

=

(1)

1

1

ud

Binomial

pcpc

c

r

rd

p

ud

 
"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"
Looking for a Similar Assignment? Our Experts can help. Use the coupon code SAVE30 to get your first order at 30% off!

Hi there! Click one of our representatives below and we will get back to you as soon as possible.

Chat with us on WhatsApp