Ch%2016_p2

Ch%2016_p2 - Figure 14.32 Pricing a Call Option Page 1...

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Unformatted text preview: Figure 14.32 Pricing a Call Option Page 1 Pricing a Put Option Problem 2 Chapter 16 Current Stock Price $100.00 Exercise Price #ADDIN? Mean annual growth rate- Annual volatility 20% Risk-free rate 12% Option Duration 1 Stock Price in one year #ADDIN? Option cash flows at termination #ADDIN? Discounted value of option #ADDIN? cash flows at termination Summary Information Workbook Name Ch 16_p2.xls Number of Simulations 3 Number of Iterations 400 Number of Inputs 2 Number of Outputs 1 Sampling Type Latin Hypercube Simulation Start Time 4/6/2010 10:45 Simulation Stop Time 4/6/2010 10:45 Simulation Duration 00:00:03 Random Seed 1854587254 Output Statistics Exer Price Name Cell Sim Minimum Mean Maximum x1 p1 x2 p2 $90.00 Discounted value of option D12 1 $- $1.15 $25.30 $- 5% $9.00 95% $100.00 Discounted value of option D12 2 $- $3.16 $34.17 $- 5% $17.87 95% $110.00 Discounted value of option D12 3 $- $6.70 $43.04 $- 5% $26.74 95% We see that an increase in the exercise price increases the value of the put because the put is more likely to be exercised. Outputs Discounted value of oDiscountedDiscounted value of option Simulation 1 2 3 Statistics / Cell $D$12 $D$12 $D$12 Minimum $- $- $- Maximum $25.30 $34.17 $43.04 Mean $1.15 $3.16 $6.70 Standard Deviation $3.58 $6.36 $9.53 Variance 12.85 40.46 90.76 Skewness 3.81 2.29 1.41 Kurtosis 18.75 7.96 4.194....
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This note was uploaded on 05/09/2010 for the course MD 605 taught by Professor Silks during the Fall '10 term at box.

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Ch%2016_p2 - Figure 14.32 Pricing a Call Option Page 1...

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