Open AccessValuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet
Author(s) -
John C. Gardner,
Carl B. McGowan
Publication year - 2012
Publication title -
journal of business case studies
Language(s) - English
Resource type - Journals
eISSN - 2157-8826
pISSN - 1555-3353
DOI - 10.19030/jbcs.v8i6.7377
Subject(s) - black–scholes model , coca cola , call option , valuation of options , big data , economics , treasury , financial economics , econometrics , volatility (finance) , business , advertising , computer science , archaeology , history , operating system
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.