BLACK SCHOLES OPTION PRICING Basics

Inputs

Stock Price Now (S0) $49.11 49

Standard Dev - Annual (s) 74.73% 7

Riskfree Rate- Annual (r) 0.12% 1

Exercise Price (X) $45.00 45

Time To Maturity - Years (T) 0.4472 4

1 ln S 0
/ X r s 2 / 2 T / s T
Outputs d1 s T
d1
d2
N(d1)
N(d2)
Call Price (C0)

-d1
C0 S0 N d1 Xe rT N d 2
-d2
N(-d1)
N(-d2)
Put Price (P0)
(6)
(6) The
The Black-Scholes
Black-Scholes put
put formula
formula is:
is:
P0 S0 N d1 Xe rT N d 2
Enter
Enter =-B6*B23+B9*EXP(-B8*B10)*B24
=-B6*B23+B9*EXP(-B8*B10)*B24
(6)
(6) The
The Black-Scholes
Black-Scholes put
put formula
formula is:
is:
P0 S0 N d1 Xe rT N d 2
Enter
Enter =-B6*B23+B9*EXP(-B8*B10)*B24
=-B6*B23+B9*EXP(-B8*B10)*B24
 Un...
Continuous Dividend Yield and
BLACK SCHOLES OPTION PRICING Alternative Underlying Assets
Inputs
Option Type Call Put 1

Underlying Asset Type Stock Stock Index Futures Foreign Currency 1

Continuous Dividend and

Stock Price Now (S(0)) $49.11 49
25

Option Price
Alternative Underlying Assets

Standard Dev - Annual (s) 74.73% 7

20

Riskfree Rate- Annual (r) 0.12% 0

15

Exercise Price (X) $45.00 45

10

Time To Maturity - Yrs (T) 0.4472 4

Underlying Asset Yield is 5
Stock Dividend
Yield (d) 1.00% 1
0
Stock Price Now
0 10 20 30 40 50 60 70
Outputs
d1
d2

ln S
N(d1)
0 / X r d s 2 / 2 T / s T
N(d2)
Call Price (C0)

-d1
C0 S0 e dT N d1 Xe rT N d 2
-d2
N(-d1)
N(-d2)
Put Price (P0) P0 S0e dT N d1 Xe rT N d 2

Data Table: Sensitivity of Option Price to Stock Price Now

Input Values for Stock Price Now (P)
Output Formula:
Option Price
Intrinsic Value
d Yield and
derlying Assets

and
Assets

50 60 70

Now (P)