likeit - 1.11 Kurtosis 4.24 NumErrs Mode 3.09 5 2.86 10...

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EXHIBIT F As You Like It Stock Price on 1//196 43.00 d1 #ADDIN? Stock Price on 4/1/96 #ADDIN? d2 #ADDIN? Strike Price 42.00 N(d1) #ADDIN? Volatility 0.20 N(-d1) #ADDIN? Variance 0.04 N(d2) #ADDIN? Time to expiration 0.75 N(-d2) #ADDIN? Risk-free Rate 0.10 Value of CALL on 4/1/96 #ADDIN? Value of PUT on on 4/1/96 #ADDIN? Choose the highest one on 4/1/96 #ADDIN? Discounted to 1/1/96 #ADDIN? Outputs Discounted to 1/1/96 Simulations 1 Statistics / Cell $B$14 Expected Price 95% Confidence Interval: Minimum 2.64 Maximum 20.84 Upper Limit: 6.84 Mean 6.53 Lower Limit: 6.21 Standard Deviation 3.13 Variance 9.77 Skewness
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Unformatted text preview: 1.11 Kurtosis 4.24 NumErrs Mode 3.09 5% 2.86 10% 3.13 15% 3.42 20% 3.72 25% 4.05 30% 4.36 35% 4.71 40% 5.07 45% 5.43 50% 5.82 55% 6.24 60% 6.69 65% 7.15 70% 7.68 75% 8.28 80% 8.95 85% 9.77 90% 10.84 95% 12.56 Target #1 (Value)= 2.74 Actual Price 95% Confidence Interval: Target #1 (Perc%)= 2.50% Upper Limit: 14.09 Target #2 (Value)= 14.09 Lower Limit: 2.74 Target #2 (Perc%)= 97.50% The mean price for the option is $6.53, and one can be 95% sure that it is worth between $6.22 and $6.83 on Jan/1/96....
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