Black-Scholes Option Pricing Model Put
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- čas přidán 9. 06. 2011
- A continuation of the Black-Scholes Option Pricing Model with the focus on the put option.
Templates available at:
tinyurl.com/Bracker-StNormTable
tinyurl.com/Bracker-BSOPM
tinyurl.com/Bracker-BSOPMSpread
6 years later, i thank you, this helped me study option pricing 1 day before my exam.
Very well taught, I thought it was difficult after learning it in university but after watching your videos it feels like a joke. Thank you!!
Means a lot...Thank you!
I had the same impression, these time I just learned to be approved. But never forgot which it was important.
This was the only video I found that went through an entire example in a super helpful way. Thank you!!!!!
Glad that you enjoyed it and found it useful!
😊
10 years later, I thank you sir !!!
Mr. Bracker, one week before finals.. I couldn't thank you enough. You're a Saint.
Your explanation makes it look so simple, i tried for hours and days trying to understand what my lecturer was trying to teach me. Thank You SO Much!!!
doing options and futures course rn and this helps so much...
It was a crystal clear explanation. Thank you a lot for your two videos. Very helpful to understand the BS
Both of the videos are excellent, thank you sir.
This is a much better explanation than my professor provided. Absolutely wonderful!!!
Amazing explanation. Thank you so much for sharing this valuable video.
Good explanations, and thanks for taking an extra step of providing the more accurate answers.
Great video - thanks for posting!
It depends on your calculator, but somewhere (usually a shift function) you should have an e^x button on your calculator. On the TI-BAII+ it is the 4th button up on the left hand side (at least on the version I have). For the HP-10BII, it is the shift of the 1 key on the version I have.
This video is super helpful, thank you!
you are simply great. thanks for explaining in such a down to earth manner . thanks a lot once again
Thank you Kevin, my goal was to get a foundation on BS today.
Really great! Thanks a lot for your amazing explanations!
This just did the magic. Thank you very much
Loved the explanations, nice and short too.
Great Video, This is helpful. I will try to learn more from your spreadsheet. Thanks :)
We always have room for more students at Pittsburg State!
You're amazing at explaining. Thank you so much!
Thanks a lot!!! Really helpful, pur university hired former president of Turkish National Bank and he explained this as he was not familiar to topic and he earns huge amount of money, but you are brilliant and I hope you are paid for this!!!!!
Good video; very well articulated
You are awesome !!! Thanks alllooooot !!
And right thanks a lot for the explanation is very useful and clear thank you very much. It helped me in my quiz.
Very informative
Thank you
great video
Thank you !!
Simple and awesome
thanks a million!!!
so good thanks
Your the best
Kevin, thanks for making these 2 great videos 9 years ago!
Question: all else being equal, why are puts worth less than calls in this model?! Thanks!
Alex -- Two responses. First, if you subscribe, you'll see that I've restarted making videos over the past few months, so there are some new ones up (finally). Second, calls are more expensive due to put-call parity...well, that assumes a positive risk-free rate which has historically been the case. Because you can create a risk-free arbitrage position by buying buying a put, buying the stock and writing a call locks in the present value of the exercise price (which should generate a risk-free return).
@@kevinbracker Already subscribed and thanks for the excel sheet you emailed me this AM!
I see that if I set risk free rate to 0% I get an equal price for Puts and Calls.
Still trying to wrap my head around the arbitrage opportunity in positive rate environments, but I'll let you know if I get there.
@@kc0tlh If you haven't seen this video yet, I walk through it here -- czcams.com/video/qmU5s4naugM/video.html
@@kevinbracker Awesome! I think I get it now!
Because you have to BUY the put (and stock) and SELL the call to create the delta neutral trading position, the option you are selling has to be worth more than the option you are buying to compensate you for the risk free rate of return you are giving up by allocating your capital to this strategy.
I believe if the options were priced exactly equal, then it would provide an opportunity to SELL the stock and the put, and buy the call (still delta neutral) and then take the proceeds from the sale of the stock and invest them at the risk free rate, earning a risk free return on free capital. Is this correct? If so, is this why Black & Sholes wrote the model the way they did?
fantastic! textbook is flying out the window
Ok professor I have questions. what is the profit from selling the put? and what is the profit from selling the call (previous video)?
Learning. Learning. Learning. Are the last 2 videos why and how "option chains" we find online such as at "Yahoo Options" created, but at the speed of electricity? Thanks.
Well explained. I would suggest using 'business days' in converting days to years. There are 252 trading days in one year (give or take, depending on the country) and so in this example in the video, T = 40/252 would generally be used and is considered more precise.
365 seems to make more sense as there is time decay and things that impact the volatility taking place during the non-trading days too.
This helps.
Thank you very much for your videos. straight to the point. i tried to access the link provided for the spreadsheet but unfortunately it didn’t work for me as it asked for access permission
send a request (kbracker at pittstate dot edu) and I'll get it to you
So how do I simplify the calculation quickly when I'm in the middle of a trade?
Thnks u very , in my question am given premium and exercise prices, how can I get the stock price.
ur a god!!!
Hi Kevin, I want to understand how we can plot t+0 payoff
How do you find the e^ RF in the calculator been looking for a while and have no idea
what does it mean if the Vc and the Vp come out to be negative
Santiago Zapata Most likely that you made a mistake in your calculations or in the original data entry. Send me an email at kbracker at pittstate dot edu and I can send you the spreadsheet version.
i can trade binary options with this formula
I can't understand (e-.10*.5)please show in calculatre...
Your calculator should have a button with an e to the x key. Take -0.1*.5 and get -0.05. Then press the e to the x key (in the HP10bii+ it is the shift of the 1 button.
Could we solve this problem without using formula sir?? 🙄🙄