Option Value based on the Black-Scholes Model: Black-Scholes Option Pricing Model Black-Scholes Option Pricing Model (with dilut Inputs: Inputs (with dilution effects): Stock Price (S) $10.00 Stock Price (S) $10.00 Strike Price (X) $10.00 Strike Price (X) $10.00 40.00% 40.00% Risk-free Rate 4.27% Risk-free Rate 4.27% Time to expiration (T) 10 yrs Time to expiration (T) 10 yrs Dividend Yield 0.00% Dividend Yield 0.00% # of Options (000) 10,000 # of Options (000) 10,000 # Shares Outstanding (0 100,000 # Shares Outstanding (0 100,000 Tax Rate 40.00% Tax Rate 40.00% Output: \ Adjusted S (dilution) $9.59 D1 0.97003 D1 0.93696 D2 -0.29488 D2 -0.32795 N(D1) 0.83398 N(D1) 0.82561 N(D2) 0.38404 N(D2) 0.37148 Call Price $5.83411 Call Price $5.49418 Put Price $2.35874 Put Price $2.42844 Value of Call Options ( $58,341 Value of Call Options ( $54,942 After-tax Option Value $35,005 After-tax Option Value $32,965 *Note: This spreadsheet requires iterative calculations which may result in circular references. To correct this problem, go to "Tools" - "Options" - Calculation and check the "iteration" box. Volatility (s) Volatility (s)

Black Scholes

Download XLS Report

Upload
lefterioan
View
4
Download
0

Embed Size (px)

DESCRIPTION

Fisier foarte important in analiza formulei black scholes

Citation preview

Option Value based on the Black-Scholes Model:

Black-Scholes Option Pricing Model Black-Scholes Option Pricing Model (with dilution)Inputs: Inputs (with dilution effects):Stock Price (S) $10.00 Stock Price (S) $10.00Strike Price (X) $10.00 Strike Price (X) $10.00

40.00% 40.00%Risk-free Rate 4.27% Risk-free Rate 4.27%Time to expiration (T) 10 yrs Time to expiration (T) 10 yrsDividend Yield 0.00% Dividend Yield 0.00%# of Options (000) 10,000 # of Options (000) 10,000# Shares Outstanding (000) 100,000 # Shares Outstanding (000) 100,000Tax Rate 40.00% Tax Rate 40.00%Output: \

Adjusted S (dilution) $9.59D1 0.97003 D1 0.93696D2 -0.29488 D2 -0.32795N(D1) 0.83398 N(D1) 0.82561N(D2) 0.38404 N(D2) 0.37148Call Price $5.83411 Call Price $5.49418Put Price $2.35874 Put Price $2.42844Value of Call Options (000) $58,341 Value of Call Options (000) $54,942After-tax Option Value (000 $35,005 After-tax Option Value (000 $32,965

*Note: This spreadsheet requires iterative calculations which may result in circular references.

To correct this problem, go to "Tools" - "Options" - Calculation and check the "iteration" box.

Volatility (s) Volatility (s)