Question

What would be the option price if S₀=49, risk-free rate=5%, σ=20%, Strike Price = 50, time to maturity=20 weeks. d₁=1.542 and d₂=0.648

Answer 1

S	49.00	current stock price
X	50.00	exercise price
r	5.00%	risk-free rate of interest
T	0.40	time to maturity of option (in years)
Sigma	20.00%	stock volatility
d1	0.0616	<-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))
d2	-0.0648	<-- d1 - sigma*SQRT(T)
N(d1)	0.5246	<--- Uses formula NormSDist(d1)
N(d2)	0.4741	<--- Uses formula NormSDist(d2)
Call price	2.47	<-- S*N(d1)-X*exp(-r*T)*N(d2)
Put price	2.48	<-- call price - S + X*Exp(-r*T): by Put-Call parity