fm3_chapter20 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
S 100 Current stock price X 90 Exercise price T 0.5 Time to maturity of option (in years) r 6.00% Risk-free rate of interest k 2.00% Dividend yield Sigma 35% Stock volatility 0.6303 #MACRO? 0.3828 0.7357 0.6491 Call price 16.1531 #MACRO? ### #MACRO? Put price 4.4882 #MACRO? ### #MACRO? Greeks: Brute force Call Put Delta 0.7284 #MACRO? -0.2616 #MACRO? Gamma 0.0195 #MACRO? 0.0195 #MACRO? Vega 22.8976 #MACRO? 22.8976 #MACRO? Theta -9.9587 #MACRO? -6.6984 #MACRO? Rho 28.3446 #MACRO? -15.3255 #MACRO? Greeks: VBA functions Call Put Delta ### #MACRO? #MACRO? #MACRO? Gamma ### #MACRO? #MACRO? #MACRO? Vega ### #MACRO? #MACRO? #MACRO? Theta ### #MACRO? #MACRO? #MACRO? Rho ### #MACRO? #MACRO? #MACRO? Gamma denomina ### #MACRO? 62.04 #MACRO? ### #MACRO? 1.21 #MACRO? Gamma ### #MACRO? ### #MACRO? Black-Scholes Greeks This spreadsheet uses the Merton model for a continuously dividend-paying stock d 1 d 2 <-- d 1 -sigma*SQRT(T) N(d 1 ) <-- Uses formula NormSDist(d 1 ) N(d 2 ) <-- Uses formula NormSDist(d 2 ) A B C D E 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
S 100 Current stock price X 90 Exercise price T 0.5 Time to maturity of option (in years) r 6.00% Risk-free rate of interest k 2.00% Dividend yield Sigma 55% Stock volatility Call price #MACRO? #MACRO? Put price #MACRO? #MACRO? Greeks Call Put Delta #MACRO? #MACRO? #MACRO? #MACRO? Gamma #MACRO? #MACRO? #MACRO? #MACRO? Vega #MACRO? #MACRO? #MACRO? #MACRO? Theta #MACRO? #MACRO? #MACRO? #MACRO? Rho #MACRO? #MACRO? #MACRO? #MACRO? Delta wrt stock price #MACRO? #MACRO? <-- Data table header 0 #MACRO? #MACRO? 20 #MACRO? #MACRO? 30 #MACRO? #MACRO? 40 #MACRO? #MACRO? 50 #MACRO? #MACRO? 60 #MACRO? #MACRO? 70 #MACRO? #MACRO? 80 #MACRO? #MACRO? 90 #MACRO? #MACRO? 100 #MACRO? #MACRO? 110 #MACRO? #MACRO? 120 #MACRO? #MACRO? 130 #MACRO? #MACRO? 140 #MACRO? #MACRO? 150 #MACRO? #MACRO? Delta wrt time to expiration Exercise price #MACRO? 120 100 80 0.10 #MACRO? #MACRO? #MACRO? 0.13 #MACRO? #MACRO? #MACRO? 0.15 #MACRO? #MACRO? #MACRO? 0.18 #MACRO? #MACRO? #MACRO? 0.20 #MACRO? #MACRO? #MACRO? 0.25 #MACRO? #MACRO? #MACRO? 0.30 #MACRO? #MACRO? #MACRO? 0.35 #MACRO? #MACRO? #MACRO? 0.40 #MACRO? #MACRO? #MACRO? 0.45 #MACRO? #MACRO? #MACRO? 0.50 #MACRO? #MACRO? #MACRO? 0.55 #MACRO? #MACRO? #MACRO? 0.60 #MACRO? #MACRO? #MACRO? 0.65 #MACRO? #MACRO? #MACRO? 0.70 #MACRO? #MACRO? #MACRO? 0.75 #MACRO? #MACRO? #MACRO? 0.80 #MACRO? #MACRO? #MACRO? 0.85 #MACRO? #MACRO? #MACRO? 0.90 #MACRO? #MACRO? #MACRO? 0.95 #MACRO? #MACRO? #MACRO? 1.00 #MACRO? #MACRO? #MACRO? Black-Scholes Greeks Delta graphs 0 20 40 60 80 100 120 140 -1 -0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8 1 Call and Put Deltas as Functions of Stock Price Column B Column C Stock price Delta 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 Call Delta, Time to Maturity, and Moneyness Column B Column C Column D Time to option expiration, T Call delta A B C D E F G H I J K L M 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69
Background image of page 2
S 100 Current stock price X 100 Exercise price T 0.6 Time to maturity of option (in years) r 6.00% Risk-free rate of interest k 2.00% Dividend yield Sigma 35% Stock volatility Cal price ### #MACRO? Put price ### #MACRO? Greeks Call Put Delta ### #MACRO? #MACRO? #MACRO? Gamma ### #MACRO? #MACRO? #MACRO? Vega ### #MACRO? #MACRO? #MACRO?
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 4
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 01/23/2011 for the course FGB 780 taught by Professor Edwardchang during the Spring '09 term at Missouri State University-Springfield.

Page1 / 51

fm3_chapter20 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online