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

Main Article Content

John C. Gardner
Carl B. McGowan Jr

Keywords

Black-Scholes Option Pricing Model, Coca-Cola, PepsiCo, Options Data, Returns Data, Treasury Bill Rates

Abstract

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.

Downloads

Download data is not yet available.
Abstract 60 | PDF Downloads 88

Most read articles by the same author(s)