Calculate European call and put prices and the Greeks (delta, gamma, theta, vega, rho) with the Black-Scholes-Merton model, including dividends.
నవీకరించబడింది తనిఖీ చేసిన ఉదాహరణలు: 4
The call is worth $8.26 and the put $5.79. For each 1.00 rise in the stock price the call gains about 0.5909, and with nothing else changing one day of time takes about 0.0258 off its value.
| కొలతలు | Call | Put |
|---|---|---|
| Price | 8.26 | 5.791 |
| Delta | 0.5909 | −0.4091 |
| Gamma | 0.022 | 0.022 |
| Theta per day | −0.0258 | −0.0124 |
| Vega per 1% volatility | 0.2747 | 0.2747 |
| Rho per 1% rate | 0.2541 | −0.2335 |
Theta is per calendar day (annual theta ÷ 365); vega and rho are per one percentage point. European exercise; the model assumes constant volatility and rates.
The Black-Scholes-Merton model prices a European option from the stock price S, the strike K, the time to expiry T in years, the volatility σ, the risk-free rate r and a continuous dividend yield q. A call is worth S·e^(−qT)·N(d₁) − K·e^(−rT)·N(d₂), where N is the standard normal distribution, and the put follows from the same terms. The Greeks measure sensitivity: delta to the stock price, gamma to delta itself, theta to the passing of time, vega to volatility and rho to the interest rate.
With the defaults, a stock at 100, a strike of 100, six months to expiry, 25% volatility and a 5% rate, the call is worth 8.26 and the put 5.79. The call's delta of 0.5909 means it gains about 0.59 for each 1 rise in the stock, and its theta shows it losing about 0.026 a day.
The model assumes constant volatility and rates, log-normal prices and exercise only at expiry. US stock and ETF options are American-style and can be exercised early; index options such as SPX are European and cash-settled.
తనిఖీ చేసిన మూలం: Hull, Options, Futures, and Other Derivatives, Example 15.6: c = 4.76, p = 0.81, d1 = 0.7693, d2 = 0.6278; Python decimal (prec 50, erf series) gives 4.7594224, 0.8085994
తనిఖీ చేసిన మూలం: Hull ch. 19 (S=49, K=50, 20 weeks): price 2.40, delta 0.522, gamma 0.066, theta −4.31/yr = −0.0118/day, vega 12.1 (0.121 per 1%), rho 8.91 (0.0891 per 1%); Python decimal values to 6 dp
తనిఖీ చేసిన మూలం: Hull Example 17.1: c = 51.83, d1 = 0.5444; Python decimal (prec 50) Merton formula gives 51.8329568
తనిఖీ చేసిన మూలం: With r = q = 0 and S = K, d1 = σ√T/2 = 0.1 and C = P = S(2N(0.1) − 1) = 7.9655675 (Python decimal and math.erf agree)
C = S·e^(−qT)·N(d₁) − K·e^(−rT)·N(d₂), with d₁ = (ln(S/K) + (r − q + σ²/2)T) ÷ (σ√T) and d₂ = d₁ − σ√T. For the defaults, d₁ = 0.2298 and d₂ = 0.0530. Fischer Black and Myron Scholes published it in the Journal of Political Economy in 1973 (vol. 81, no. 3, pp. 637–654); Robert Merton and Scholes received the 1997 economics prize for the work, Black having died in 1995.
Delta is how much the option price changes for a 1 change in the stock price. The default call has a delta of 0.5909 and the put −0.4091; without dividends they always differ by exactly 1. One US equity option contract usually covers 100 shares, so a call with a delta of 0.59 moves roughly like 59 shares of the stock.
For European options with the same strike and expiry, call − put = S·e^(−qT) − K·e^(−rT). With the defaults, 8.26 − 5.79 = 2.469, which equals 100 − 100·e^(−0.05 × 0.5). If market prices break this relation, a riskless profit exists before trading costs, so the put price follows directly from the call price.
Higher volatility raises both call and put prices, because it widens the range of prices the stock can reach before expiry. The default call's vega is 0.2747, so each extra 1% of volatility adds about 0.27; raising volatility from 25% to 35% lifts the call from 8.26 to 11.01 and the put from 5.79 to 8.54.
Only some. US stock and ETF options are American-style, so they can be exercised before expiry. For a call on a stock that pays no dividends, early exercise is never worth it, so the Black-Scholes price is also the American price (Hull, Options, Futures, and Other Derivatives). American puts, and calls just before a dividend, are worth more than the model shows and need a binomial tree or similar method.
కచ్చితత్వం మీ ఇన్పుట్లు, పద్ధతిలోని ఊహలపై ఆధారపడి ఉంటుంది. దశాంశ గణన 50 సార్థక అంకెలను ఉపయోగిస్తుంది. అంచనాలు, సంఖ్యా పద్ధతులు, మూల డేటా తక్కువ కచ్చితత్వంతో ఉండవచ్చు; ప్రదర్శనలో విలువలను రౌండ్ చేయడం ఈ పరిమితులను తొలగించదు. స్వతంత్ర మూలాల పరిష్కారాలతో తనిఖీ చేసిన ఉదాహరణలు: 4. ఉదాహరణకు, “Hull example 15.6”ను Hull, Options, Futures, and Other Derivatives, Example 15.6: c = 4.76, p = 0.81, d1 = 0.7693, d2 = 0.6278; Python decimal (prec 50, erf series) gives 4.7594224, 0.8085994తో తనిఖీ చేశారు.
Hull — Options, Futures, and Other Derivatives, ch. 15 (Black-Scholes-Merton), 17 (dividend yield) and 19 (Greeks); Black & Scholes (1973), The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81(3).
ప్రణాళిక కోసం మాత్రమే. రుణదాతలు, పన్ను అధికారులు, మార్కెట్లు తమ సొంత రౌండింగ్, రుసుములు, నియమాలను అమలు చేస్తారు; ఒప్పందం చేసుకునే ముందు వారితో విలువలను నిర్ధారించుకోండి.
ఈ కాలిక్యులేటర్లో స్వతంత్ర ఆధారాల నుంచి సమాధానాలు పొందిన 4 సాధించిన ఉదాహరణలు ఉన్నాయి. ఇవి పరీక్షల సమూహంలో అమలవుతాయి; మీరు ఇక్కడ కూడా వాటిని అమలు చేయవచ్చు.
Calculate your average cost per share across several buys, unrealized profit and return, and the position size for your risk and stop loss.
Calculate a bond's price from its yield to maturity, or the YTM from its price, with current yield, Macaulay and modified duration and convexity.
Calculate NPV, IRR, modified IRR, payback and discounted payback for a series of periodic cash flows, with the NPV profile across rates.
డిపాజిట్, క్రమబద్ధ జమల భవిష్యత్ విలువను లెక్కించండి. రోజువారీ, నిరంతర చక్రవడ్డీ సహా ఏ వడ్డీ కలిపే వ్యవధినైనా ఉపయోగించండి.
Calculate XIRR, the annualized return on cash flows made on irregular dates, and XNPV at your discount rate, matching Excel's actual/365 method.
Calculate ROI (total return) and CAGR (compound annual growth rate) from an investment's start and end values, over years or between two dates.