Question

Develop an Excel spreadsheet model to calculate the values of European
call and put option using the Black-Sholes formulas! (See formulas 3.17 and
3.18 on page 48 in the textbook. Note log means natural logarithm in the
formulas of the textbook!) Use the following data as inputs: the stock price
$92.00, the volatility is σ = 0.34, riskfree annual interest rate r = 2.5%,
exercise price E = $100, time to expiration is 0.4 years.
How to build the spreadsheet model: Use column A for labeling the
inputs, outputs etc. Enter the values of the inputs in to the cells B4:B8.
Calculate d1 and d2, put the labels d1 and d2 into the column A, put the
values into the cells B11 and B12. Use the ”NORMSDIST” function of Excel
to calculate N(d1), N(d2) and put the values into B13 and B14. Put the
value of the call option into B15. Similarly for −d1, −d2, put the values into
B17:B20 and put the value of the put option into B21.
What are the current prices of the call and put?

Answer 1