Calculate the Black-Scholes Values for a call option and a put option.

Share price (S): $100

Exercise price (X): $95

Continuous Risk-free Interest rate (r): 8%

Dividend yield (q): 3%

Time to Maturity (T): 0.5 years

Volatility (): 20%

Before calculating the Black-Scholes Values for c and p, first calculate the following

intermediate steps:

r - q + 0.52

r - q - 0.52

exp(-qT)

exp(-rT)

d1

N(d1)

d2

N(d2)

*To calculate N(d1) and N(d2) you will need the NORMSDIST function in Excel. To

 

calculate d1 and d2 you will need the LN function in Excel.

Answer rating: 100% (QA)

To calculate the intermediate steps and the BlackScholes values for a call option and a put option well follow the formulas and calculations used in t... View the full answer