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What is Black-Scholes Option Pricing Analysis about?

The Black-Scholes option pricing model is used to calculate the value of a call option both with and without considering dilution effects. With an input stock price of $10, strike price of $10, volatility of 40%, risk-free rate of 4.27%, time to expiration of 10 years, and no dividends, the standard Black-Scholes model outputs a call price of $5.83411 and value of call options of $58,341,000. When adjusted for dilution effects, the call price is slightly lower at $5.49418 and value is $54,942,000, due to th

Author

Chukwunoso Nwonye

Language

EN