Question: What would be the Excel formula in Spreadsheet for the Black-Scholes value of a straddleposition? 1INPUTS 2Standard deviation (annual 0.2783 OUTPUTS d1 d2 FORMULA FOR

What would be the Excel formula in Spreadsheet for the Black-Scholes value of a straddleposition?

1INPUTS 2Standard deviation (annual 0.2783 OUTPUTS d1 d2 FORMULA FOR OUTPUT IN COLUMNE 0.0029 (LN(B5/B6) (B4-B7+.5 B22) B3 (B2 SORT (B3)) 3 Maturity (in years) 4 Risk-free rate (annual) 5 Stock 0.5 0.06 N(d1) 100 105 0.5012NORMSDIST(E2) 0.4231 7.0000 N(d2) B/S call value NORMSDIST(E3) 6 Exercise price 7 Dividend yield (annual) BIS put value 8.8968 B6 EXP(-B4 B3)(1-E5-B5 EXP B7 B3)(1 E4)

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