Black-Scholes sensitivity analysis

Black-Scholes sensitivity analysis - Black Scholes...

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Black Scholes Sensitivity Analysis Stock 36 Strike 40 r 5% t 0.25 Volatility 50% PV(K) 39.5 x -0.25 N(x) 0.4 0.31 Call 2.26 N(x- t) σ√
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0.4 0.5 0.6 0.7 0.8 0.9 1 1.1 0 2 4 6 8 10 12 14 Sensitivity Analysis Row 17 Input parameter Option Value
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Black Scholes Sensitivity Analysis Comparative Static? Increment 0.01 0.02 Stock 36 0 36 36 Strike 40 0 40 40 r 5% 0 5.00% 5.00% t 0.25 0 0.25 0.25 Volatility 50% 1 0.51 0.51 PV(K) 39.5 39.5 39.5 x -0.25 -0.24 -0.24 N(x) 0.4 0.4 0.41 0.31 0.31 0.31 Call 2.26 2.29 2.33 0.51 0.51 N(x- t) σ√
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0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.1 0.11 0.12 36 36 36 36 36 36 36 36 36 36 40 40 40 40 40 40 40 40 40 40 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.52 0.52 0.53 0.53 0.54 0.54 0.55 0.55 0.56 0.56 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 -0.23 -0.23 -0.22 -0.22 -0.21 -0.21 -0.2 -0.2 -0.2 -0.19 0.41 0.41 0.41 0.41 0.42 0.42 0.42 0.42 0.42 0.42 0.31 0.31 0.31 0.31 0.32 0.32 0.32 0.32 0.32 0.32 2.36 2.4 2.43 2.47 2.5 2.54 2.57 2.61 2.64 2.68 0.52 0.52 0.53 0.53 0.54 0.54 0.55 0.55 0.56 0.56
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0.13 0.14 0.15 0.16 0.17 0.18 0.19 0.2 0.21 0.22 36 36 36 36 36 36 36 36 36 36 40 40 40 40 40 40 40 40 40 40 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.25 0.57 0.57 0.58 0.58 0.59 0.59 0.6 0.6 0.61 0.61 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 39.5 -0.19 -0.18 -0.18 -0.18 -0.17 -0.17 -0.16 -0.16 -0.16 -0.15 0.43 0.43 0.43 0.43 0.43 0.43 0.44 0.44 0.44 0.44 0.32 0.32
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This document was uploaded on 10/07/2008.

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Black-Scholes sensitivity analysis - Black Scholes...

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