just plug-in the numbers Black-Scholes

mit · April 8th, 2005, 2:23 am

itz very straight forward, just plug in the numbers.i am not getting the answer in the text, please try it and see what do u get? itz a callstock price =62strike = 70time to expiration = 4 weeksvariance = 0.45risk-free rate = 0.05 (annual)

JamesH83 · April 8th, 2005, 2:33 am

i get 1.8878you are rooting the variance before you plug it in right?

mit · April 8th, 2005, 3:45 am

the answer in the book is 1.82

gjlipman · April 8th, 2005, 6:32 am

That's odd - I get 1.95. It is fairly insensitive to the risk free rate, so assuming the rate is continuous vs annual doesn't explain it. Am using a vol of sqrt(.45)=.67. 0% dividend. In terms of the time, it will slightly depend on that - whether you 20/260, or 20/252, or 28/365, or 4/52, but however I do it, I can't get either 1.89 or 1.82.

mit · April 8th, 2005, 6:58 am

yes, i got about 1.9....thatz y i am posting this here...

daveangel · April 8th, 2005, 8:53 am

1.95 from my model

JamesH83 · April 8th, 2005, 1:23 pm

sorry tired idiot last night, entered the risk free rate as 0.05%....foolwhen i enter 5% i get 1.95 too

eenstudent · April 8th, 2005, 6:01 pm

I don't have the formula for BS -- how do I come about your answer?Thanks!

JamesH83 · April 8th, 2005, 10:51 pm

google black scholes, or look in hull or wilmott

mit · April 8th, 2005, 10:53 pm

Ok, here is a new one, same i cant get the answer in the book, please confirmI dont know if the rates are annual, the question just gives them without indicating anything elseCALLstock price= 70excercise = 90time to expiration = 6monthsvariance = 0.35risk-free rate 0.06please post whatever u get

mit · April 8th, 2005, 11:10 pm

the answer in the book is 20 something...i cant get that much

JamesH83 · April 8th, 2005, 11:47 pm

i get 6.1320 sounds way way to high?!what book are you using?

mit · April 9th, 2005, 12:13 am

yes man,,i got the same...i used some online Black scheloes calculator too....it should be around 6fuck that book,,,it is Corporate Finance by Ross ...

JamesH83 · April 9th, 2005, 12:15 am

dump that shit,expensive too isnt it?write to him

ExSan · April 29th, 2005, 7:18 am

Black-Sholes Calculator / Just plug-in numbersFrom the Downloadable File extract program BLACK_SHOLES to your desktop and execute.added value : Graphs + Greeks