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  • Black Scholes Model

    Încărcat de

    tvlodek
    9 vizualizări2 pagini
    This document compares the Black-Scholes and binomial models for pricing options. It lists the key variables that are used to calculate option prices in each model, such as the underlying asset value, exercise price, risk-free rate, and standard deviation. However, it does not provide any numerical values for the variables or results, as the cells containing formulas return errors.

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    Titlu original

    BlackScholesModel

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    © Attribution Non-Commercial (BY-NC)

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    XLSX, PDF, TXT sau citiți online pe Scribd

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    This document compares the Black-Scholes and binomial models for pricing options. It lists the key variables that are used to calculate option prices in each model, such as the underlying asset value, exercise price, risk-free rate, and standard deviation. However, it does not provide any numerical values for the variables or results, as the cells containing formulas return errors.

    Drepturi de autor:

    Attribution Non-Commercial (BY-NC)
    Descărcați ca XLSX, PDF, TXT sau citiți online pe Scribd
    Indicator pentru conținut neadecvat
    9 vizualizări2 pagini

    Black Scholes Model

    Încărcat de

    tvlodek
    This document compares the Black-Scholes and binomial models for pricing options. It lists the key variables that are used to calculate option prices in each model, such as the underlying asset value, exercise price, risk-free rate, and standard deviation. However, it does not provide any numerical values for the variables or results, as the cells containing formulas return errors.

    Drepturi de autor:

    Attribution Non-Commercial (BY-NC)
    Descărcați ca XLSX, PDF, TXT sau citiți online pe Scribd
    Indicator pentru conținut neadecvat
    din 2

    Black-Scholes Model Binomial Model

    Single Time Period


    Underlying Asset Value S₀ - Underlying Asset Value
    Exercise Price X - Exercise Price
    Fisk Free Rate rf 0.00% Fisk Free Rate
    Standard Deviation of S₀ ∂ - Upper Limit Multiplier
    Time Until Expiration T - Lower Limit Multiplier

    d₁ #DIV/0!
    d₂ #DIV/0!

    N(d₁) #DIV/0!
    N(d₂) #DIV/0!

    Call Option Value C₀ #DIV/0! Call Option Value


    Put Option Value #DIV/0! Put Option Value
    al Model
    S₀ -
    X -
    rf 0.00%
    u -
    d -

    Cu -
    Cd -

    Y #DIV/0!
    Z #DIV/0!

    C₀ #DIV/0!
    #DIV/0!

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