Pfe Exer25

UN-13B
A
1
2
3
4
5
6
7
8
9
Exercise 1
S
X
T
r
Sigma
d1
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
16 Put price
17
50
50
0.50000
10.00%
25%
Current stock price

Exercise price
Time to maturity of option (in years)
Risk-free rate of interest
Stock volatility
0.3712 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

0.1945 <-- d1-sigma*SQRT(T)
0.6448 <-- Uses formula NormSDist(d1)
4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)
2.35 <-- call price - S + X*Exp(-r*T): by Put-Call parity
2.35 <-- X*exp(-r*T)*N(-d2) - S*N(-d1): direct formula
UN-13B
A
1
2
3
4
5
6
7
8
9
Exercise 2
S
X
T
r
Sigma
33
40
0.50000
6.00%
79%
d1
-0.0085 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

-0.5699 <-- d1-sigma*SQRT(T)
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
Current stock price

Exercise price
Stock volatility

5.35 <-- S*N(d1)-X*exp(-r*T)*N(d2)
UN-13B
A
1
2
3
4
5
6
7
8
9
Exercise 3
S
X
T
r
Sigma
25
25
1.00000
5.00%
58%
d1

-0.2055 <-- d1-sigma*SQRT(T)
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
16 Put price
17
Current stock price

Exercise price
Stock volatility

6.22 <-- S*N(d1)-X*exp(-r*T)*N(d2)
UN-13B
A
1
2
3
4
5
6
7
8
9
Stock
volatility
Call
price
Exercise 4
S
X
T
r
Sigma
d1
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
16
17
18
19
20
21
22
23
24
25
26
27
40
38
0.50000
4.00%
30%
Current stock price

Exercise price
Stock volatility

4.82 <-- S*N(d1)-X*exp(-r*T)*N(d2)
10%
20%
30%
40%
50%
60%
2.97622
3.82388
4.82053
5.85624
6.90438
7.95485
UN-13B
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
Time to
maturity
Put
price
Exercise 5
S
X
T
r
Sigma
Put price
40
38
0.50000
4.00%
30%
Current stock price

Exercise price
Stock volatility
2.07
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
1.12567
1.80469
2.29977
2.69470
3.02419
3.30660
3.55308
3.77096
3.96541
4.14024
UN-13B
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
Exercise 6
S
X
T
r
Sigma
50
50
0.50000
10.00%
25%
Call price
Current stock price

Exercise price
Stock volatility
4.79111753
Call Price
35.00
30.00
25.00
20.00
Call Price
15.00
10.00
5.00
0.00
0
20
40
60
80
100
Put Price
4.00
3.50
3.00
Stock Price Call Price

50
4.79
20
0.00
25
0.00
30
0.01
35
0.12
40
0.67
45
2.14
50
4.79
55
8.48
60
12.85
65
17.59
70
22.49
75
27.46
80
32.44
Stock volatility Put Price

25.00%
2.35
10.00%
0.49
12.00%
0.71
14.00%
0.95
16.00%
1.19
18.00%
1.44
20.00%
1.70
22.00%
1.96
24.00%
2.22
26.00%
2.48
28.00%
2.75
30.00%
3.01
32.00%
3.28
34.00%
3.55
Time to maturity
Call Price
0.5
4.79
0.1
1.83
0.2
2.74
0.3
3.49
0.4
4.17
0.5
4.79
0.6
5.38
0.7
5.94
0.8
6.47
0.9
6.99
1
7.49
Risk-free rate Call Price

10.0%
4.79
5.0%
4.13
5.5%
4.19
6.0%
4.26
6.5%
4.32
7.0%
4.39
7.5%
4.45
8.0%
4.52
8.5%
4.59
9.0%
4.65
9.5%
4.72
10.0%
4.79
10.5%
4.86
11.0%
4.93
11.5%
5.00
12.0%
5.07
12.5%
5.14
13.0%
5.21
13.5%
5.28
2.50
2.00
Put Price
1.50
1.00
0.50
0.00
0.00%
10.00%
20.00%
30.00%
40.00%
Exercise price Put Price

50
2.35
41
0.28
42
0.38
43
0.51
44
0.66
45
0.85
46
1.07
47
1.33
48
1.63
49
1.97
50
2.35
51
2.78
52
3.24
53
3.75
54
4.29
55
4.88
56
5.50
57
6.16
58
6.85
59
7.57
60
8.31
UN-13B
A
1
2
3
4
5
6
7
8
9
Stock
price
Call
price
Intrinsic
value
Exercise 7
S
X
T
r
Sigma
d1
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
16 Put price
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
50
50
0.50000
10.00%
25%
Current stock price

Exercise price
Stock volatility

4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)
43
45
47
49
51
53
55
57
59
61
63
1.41172
2.13699
3.05683
4.16784
5.45650
6.90237
8.48143
10.16908
11.94227
13.78084
15.66802
0
0
0
0
1
3
5
7
9
11
13
Black-Scholes Price versus Intrinsic Value
20
15
10
5
0
45
50
55
Stock price S ($)
Call price
Intrinsic value
60
65
UN-13B
A
1
2
3
4
5
6
7
8
9
Stock
price
Put
price
Intrinsic
value
Exercise 8
S
X
T
r
Sigma
d1
10 d2
11
12 N(d1)
13 N(d2)
14
15 Call price
16 Put price
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
50
50
0.50000
10.00%
25%
Current stock price

Exercise price
Stock volatility

4.79 <-- S*N(d1)-X*exp(-r*T)*N(d2)
30 17.57100
35 12.68223
40 8.22777
45 4.69846
50 2.35259
55 1.04290
60 0.41598
65 0.15195
70 0.05167
75 0.01660
80 0.00510
20
15
10
5
0
0
0
0
0
0
0
Black-Scholes Price versus Intrinsic Value
25
20
15
10
5
0
30
40
50
60
Stock price S ($)
Put price
Intrinsic value
70
80
90
A
1
2
3
4
5
6
7
8
9
10
11
Exercise 9
The functions in this spreadsheet--Calloption and Putoption--were
defined by the author; they are part of this spreadsheet.
S
X
T
r
Sigma
Call price
Option
intrinsic
12 value
13
14 difference
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
45
45
1.00000
8.00%
40%
Current stock price

Exercise price
Stock volatility
8.72
0
8.72 Note: the maximum is achieved at the money
Stock price
25
30
35
40
45
50
55
60
65
70
Option
BS call
intrinsic
price
value
8.72
0
0.617487
0
1.63739
0
3.335565
0
5.721161
0
8.723861
0
12.23787
5
16.15319
10
20.37198
15
24.81446
20
29.4189
25
Comparing the BS
35
30
when the s
25
20
15
10
5
0
-5
25
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
Comparing
the BS Option Price (the curved
20
to the Option Intrinsic Value
21
when
the stock price S is varied
22
23
24
25
26
27
28
29
30
31
35
45
55
32
33
Stock price
34
35
line)
65
PFIZER (PFE) OPTION

PRICES, 4 MARCH 2005
1
2 Stock price
3 Current date
4 Interest rate
5
6
Expiration
7
17-Jun-05
8
17-Jun-05
9
17-Jun-05
10
17-Jun-05
11
17-Jun-05
12
17-Jun-05
26.85
4-Mar-05
2.60%
Exercise
22.50
25.00
27.50
30.00
32.50
37.50
Call
4.70
2.55
1.00
0.30
0.05
Put
0.25
0.65
1.60
3.50
10.70
Call volatility Put volatility

27.48%
30.12%
23.24%
26.19%
20.89%
23.60%
20.78%
27.07%
19.56%
1.62%
45.77%
A
1
2
3
4
5
6
7
8
9
10
11
12
Exercise 11
S
X
T
r
Sigma
Intrinsic value
Put price
100
160
0.50000
12.00%
35%
Current stock price

Exercise price
Stock volatility
60.00
51.30 <-- =putoption(B5,B6,B7,B8,B9)
UN-13B
A
1
2
3
4
5
6
7
8
9
Exercise 12
S
X
T
r
Sigma
38
40
0.50000
5.00%
25%
d1
-0.0603 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

-0.2371 <-- d1-sigma*SQRT(T)
10 d2
11
12
13 N(d2)
Current stock price

Exercise price
Stock volatility
0.4063 <-- Probability that the option will be exercised
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
Exercise 13
S
X
T
r
Sigma
Call price
50
55
0.75000
5.00%
36.6%
Current stock price

Exercise price
Stock volatility
5.10 <-- =calloption(B5,B6,B7,B8,B9)
DATA:
Using Solver:
45
50
55
3
7
3.7
1.6
45
50
55
3
38.0%
34.1%
32.0%
G
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
6
8.3
5.2
2.9
9
10.5
7.5
5.1
6
35.0%
32.8%
30.8%
9
41.5%
38.7%
36.6%
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Exercise 14
S
X
T
r
Sigma
Call price
Put price
20
18
1.00000
3.74%
33%
Current stock price

Exercise price
Stock volatility

1.32 <-- =putoption(B5,B6,B7,B8,B9)
No. Put Call Parity doesn't hold.

Call price should be 3.98
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
Exercise 15
S
X
T
r
Sigma
Call price
50
60
0.16667
5.50%
27%
Current stock price

Exercise price
Stock volatility
Note:
7.8% monthly volatility is translated into 27% annual volatility
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Exercise 16
S
X
T
r
Sigma
Call price
Put price
55
55
0.25000
2.00%
40%
Current stock price

Exercise price
Stock volatility

4.23 <-- =putoption(B5,B6,B7,B8,B9)
Call Price based on Put Price and Put Call Parity:

4.51
F
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Exercise 17
S
X
T
r
Sigma
Call price
43
40
0.25000
6.17%
24%
Current stock price

Exercise price
Stock volatility

The option market price is well below its theoretical price
: -> an arbitrage opportunity
F
1
2
3
4
5
6
7
8
9
10
11
12
13
14
1 Exercise 18
2
3
4
5 The lower the voltaility the lower the price.
6 Assuming other factors stay the same (interest rate) -the option price decreased
F
1
2
3
4
5
6

Pfe Exer25

Transféré par

Informations du document

Titre original

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Pfe Exer25

Transféré par

Droits d'auteur :

Formats disponibles

UN-13B

Current stock price

0.3712 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

-0.0085 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Current stock price

0.4966 <-- Uses formula NormSDist(d1)

0.3771 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Current stock price

0.6470 <-- Uses formula NormSDist(d1)

Current stock price

0.4421 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Current stock price

Current stock price

Stock Price Call Price

Stock volatility Put Price

Risk-free rate Call Price

Exercise price Put Price

Current stock price

0.3712 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Black-Scholes Price versus Intrinsic Value

Current stock price

0.3712 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Black-Scholes Price versus Intrinsic Value

Current stock price

PFIZER (PFE) OPTION

Call volatility Put volatility

Current stock price

-0.0603 <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

Current stock price

0.4063 <-- Probability that the option will be exercised

Current stock price

5.10 <-- =calloption(B5,B6,B7,B8,B9)

Current stock price

3.98 <-- =calloption(B5,B6,B7,B8,B9)

No. Put Call Parity doesn't hold.

Current stock price

0.15 <-- =calloption(B5,B6,B7,B8,B9)

Current stock price

4.51 <-- =calloption(B5,B6,B7,B8,B9)

Call Price based on Put Price and Put Call Parity:

Current stock price

4.30 <-- =calloption(B5,B6,B7,B8,B9)

Vous aimerez peut-être aussi

0.3712 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

-0.0085 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

0.3771 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

0.4421 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

0.3712 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

0.3712 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))

-0.0603 <-- (LN(S/X)+(r+0.5sigma^2)T)/(sigma*SQRT(T))