Black-Scholes Option Valuation
You will need approximately bytes of calculator memory to enter the BLK. Enter the following BLK. Enter every character shown, except for spaces. All spacing is for readability. Do not enter any spaces into the calculator. Press PUTV to calculate the put option value per share of stock. The standard deviation of monthly rates of return for the stock is.
The option expires in six months. What is the estimated value of the call? SCHLS equation is the standard deviation of the periodic rates of return of the stock. ROR equation below to calcuate the sample standard deviation of the rates of return.
The equation does not include dividends, which is appropriate if the stock pays either a constant dividend or zero dividend over the period of time that the prices are measured. ROR equation are shown below:. Enter the the following SD. ROR equation into the Solver. ROR equation You have tracked the monthly closing stock prices of a corporation for 61 months.
Calculate the sample standard deviaiton of returns for this set of prices. As a check, the total of the list should be 4, Then proceed to the following keystrokes to complete the calculations:. One or more of the above Web sites will take you outside of the Hewlett-Packard Web site. HP does not control and is not responsible for information outside of its Web site. Europe, Middle East, Africa. Asia Pacific and Oceania.
The Virtual Agent is currently unavailable. Provided by ERI Economic Research Institute — Your research outsource for salary survey , cost-of-living and executive compensation survey data. A European call option can only be exercised on its expiration date. This is in contrast to American options that can be exercised at any time prior to expiration. A European option is used in order to reduce the variables in the equation.
This is acceptable, since most U. When an employee exercises a call early, he or she forfeits the remaining time value on the call and collects only the intrinsic value. Input Data Stock Asset Price: Options Fair Value European Call: The actual formula can be viewed here. Stock Asset Price A stock's current price, publicly traded or estimated.