UN-13B

A B C D E F G H
1 The Black-Scholes Option-Pricing Formula
2 S0 77.98 Current stock price Face Value of Bond $1,000
3 X 97.475 Exercise price No.of shares issue at strike price 10.25904
4 T 5.00000 Time to maturity of option (in years) Option price/share 15.82
5 r 4.46% Risk-free rate of interest Conversion Option Value 162.298
6 Sigma 23% Stock volatility PV of bond $837.7
7 Discount Rate 5.75%
8 d1 0.2569 <-- (LN(S0/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) T (yrs) 5
9 d2 -0.2574 <-- d1-sigma*SQRT(T) Coupon payment 19.23
10 Coupon rate 1.923%
11 N(d1) 0.6014 <-- Uses formula NormSDist(d1)
12 N(d2) 0.3984 <-- Uses formula NormSDist(d2)
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14 Call price, C0 15.82 <-- S0*N(d1)-X*exp(-r*T)*N(d2)
15 Put price, P0 15.83 <-- call price - S0 + X*Exp(-r*T): by Put-Call parity
16 15.83 <-- X*exp(-r*T)*N(-d2) - S*N(-d1): direct formula
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 UN-13B

A B C D E F G H
1 The Black-Scholes Option-Pricing Formula
2 S0 77.98 Current stock price Face Value of Bond $1,000
3 X 89.677 Exercise price No.of shares issue at strike price 11.1511312823
4 T 5.00000 Time to maturity of option (in years) Option price 18.50
5 r 4.46% Risk-free rate of interest Conversion Option Value 206.31
6 Sigma 23% Stock volatility PV of bond 793.69
7 Discount Rate 5.75%
8 d1 0.4190 <-- (LN(S0/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) T (yrs) 5
9 d2 -0.0953 <-- d1-sigma*SQRT(T) Coupon payment 8.86
10 Coupon rate 0.886%
11 N(d1) 0.6624 <-- Uses formula NormSDist(d1)
12 N(d2) 0.4620 <-- Uses formula NormSDist(d2)
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14 Call price, C0 18.50 <-- S0*N(d1)-X*exp(-r*T)*N(d2)
15 Put price, P0 12.27 <-- call price - S0 + X*Exp(-r*T): by Put-Call parity
16 12.27 <-- X*exp(-r*T)*N(-d2) - S*N(-d1): direct formula
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 UN-13B

A B C D E F G H
1 The Black-Scholes Option-Pricing Formula
2 S0 77.98 Current stock price Face Value of Bond $1,000
3 X 109.172 Exercise price No.of shares issue at strike price 9.16
4 T 5.00000 Time to maturity of option (in years) Option price 12.49
5 r 4.46% Risk-free rate of interest Conversion Option Value 114.3869379164
6 Sigma 23% Stock volatility PV of bond 885.61
7 Discount Rate 5.75%
8 d1 0.0365 <-- (LN(S0/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T)) T (yrs) 5
9 d2 -0.4778 <-- d1-sigma*SQRT(T) Coupon payment 30.53
10 Coupon rate 3.053%
11 N(d1) 0.5146 <-- Uses formula NormSDist(d1)
12 N(d2) 0.3164 <-- Uses formula NormSDist(d2)
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14 Call price, C0 12.49 <-- S0*N(d1)-X*exp(-r*T)*N(d2)
15 Put price, P0 21.86 <-- call price - S0 + X*Exp(-r*T): by Put-Call parity
16 21.86 <-- X*exp(-r*T)*N(-d2) - S*N(-d1): direct formula
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