- Question 5 5 Points The Following Table Shows The Parameters Of A Black Sholes Option Pricing Model Black Scholes Opt 1 (33.03 KiB) Viewed 57 times
QUESTION 5 (5 points) The following table shows the parameters of a Black-Sholes option pricing model. Black-Scholes Option Pricing Model input current stock price S= 35.75 riskless rate 0.025 strike price K= 36 No of yrs T= 0.25 stddev of returns 0.3 Create (Check out the check-in 04-27 on "Option Pricing Model.xls") the formulas to yield the intermediate variables and the final price of the call option. re
D 977472 35.75 0.025 36 0.25 0.3 A B с 1 Black-Scholes Option Pricing Model 2 3 3 input 4 current stock price S= 5 riskless rate 6 strike price K= 7 No of yrs T= 8 stddev of returns 9 10 11 output 12 In (S/K)= 13 (r+o2/2)T +)1 14 o*T^1/2 15 16 d1= 17 d2= 18 Nd1)= 19 N(02)= 20 21 discounted strike price 22 23 C=SN(01)-dspN(d2) 24