Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet

In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from dai...

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Veröffentlicht in:Journal of business case studies 2012-11, Vol.8 (6), p.559-564
Hauptverfasser: Gardner, John C., McGowan Jr, Carl B.
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.
ISSN:1555-3353
2157-8826
DOI:10.19030/jbcs.v8i6.7377