Sally Jameson

Value of Stock Option

Number of Options
Call Price

3000
4.63

Total Value

13,902.13

5,000.00
6.02%
5
6,697.44

Value of Cash Option

Total Current Amount
Risk Free Rate (5 years)
Period
The Total Value

BLACK-SCHOLES AND BINOMINAL PRICING

Current stock price
$
18.75
Option exercise price
$
35.00
Time to option exercise (in years)
5
Annual interest rate
6.02%
Riskiness of stock
40%
Number of subdivisions of T
20
Dt = T/n
Up, U
Down, D
Interest rate, R

BLACK-SCHOLES
Current stock price
Option exercise price
Time to option exercise (in years)
Annual interest rate
Riskiness of stock

State Prices
Period
Stock

0.2500
1.2214
0.8187
1.0152

state prices
qu

0.4805

qd

0.5045
BINOMINAL

$
$

18.75
35.00
5
6.02%
40%

d1

0.0859

d2

-0.8085

N(d1)

0.5342

N(d2)

0.2094

Call price

4.5929

Call

18.75

22.90
15.35

27.97
18.75
12.57

34.16
22.90
15.35
10.29

41.73
27.97
18.75
12.57
8.42

50.97
34.16
22.90
15.35
10.29
6.90

62.25
41.73
27.97
18.75
12.57
8.42
5.65

76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62

92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79

113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10

4.6340

6.76
2.75

9.72
4.13
1.52

13.80
6.12
2.36
0.76

19.31
8.95
3.61
1.23
0.34

26.65
12.89
5.46
1.96
0.57

36.26
18.29
8.13
3.08
0.95

48.64
25.55
11.92
4.76
1.56

64.36
35.11
17.19
7.26
2.53

84.06
47.49
24.36
10.88
4.03

0.13

0.23

0.40

0.69

1.17

0.04

0.07
0.01

0.14
0.02

0.25
0.03

0.00

0.00

INOMINAL

0.00

10

11

12

13

14

15

16

17

18

19

138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54

169.22
113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10
2.08

206.68
138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54
1.70

252.45
169.22
113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10
2.08
1.39

308.34
206.68
138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54
1.70
1.14

376.60
252.45
169.22
113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10
2.08
1.39
0.93

459.98
308.34
206.68
138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54
1.70
1.14
0.76

561.83
376.60
252.45
169.22
113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10
2.08
1.39
0.93
0.63

686.22
459.98
308.34
206.68
138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54
1.70
1.14
0.76

838.15
561.83
376.60
252.45
169.22
113.43
76.03
50.97
34.16
22.90
15.35
10.29
6.90
4.62
3.10
2.08
1.39
0.93

0.51

0.63
0.42

108.52
63.26
33.89
16.00
6.32

138.67
83.03
46.30
23.07
9.74

175.65
107.54
62.13
32.59
14.69

220.94
137.72
81.99
45.06
21.67

276.36
174.71
106.57
61.01
31.20

344.14
219.98
136.76
80.97
43.80

427.03
275.38
173.73
105.59
59.91

528.37
343.15
218.99
135.76
79.98

652.25
426.02
274.37
172.72
104.58

803.67
527.35
342.13
217.97
134.74

1.97

3.26

5.31

8.47

13.23

20.13

29.75

42.58

58.91

78.95

0.45
0.06

0.80
0.12

1.41
0.24

2.45
0.45

4.20
0.86

7.05
1.60

11.56
2.96

18.42
5.38

28.29
9.56

41.56
16.49

0.00

0.01

0.02

0.04

0.08

0.17

0.36

0.75

1.55

3.23

0.00
0.00

0.00
0.00
0.00

0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00

0.00
0.00
0.00

0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00

20
1023.72
686.22
459.98
308.34
206.68
138.54
92.87
62.25
41.73
27.97
18.75
12.57
8.42
5.65
3.79
2.54
1.70
1.14
0.76
0.51
0.34

988.72
651.22
424.98
273.34
171.68
103.54
57.87
27.25
6.73
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00