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fm3_problems20 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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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? Put price ### #MACRO? Greeks Call Put Delta ### #MACRO? #MACRO? #MACRO? Gamma ### #MACRO? #MACRO? #MACRO? Vega ### #MACRO? #MACRO? #MACRO? Theta ### #MACRO? #MACRO? #MACRO? Rho ### #MACRO? #MACRO? #MACRO? Exercise price #MACRO? 120 100 80 0.10 ### #MACRO? #MACRO? 0.13 ### #MACRO? #MACRO? 0.15 ### #MACRO? #MACRO? 0.18 ### #MACRO? #MACRO? 0.20 ### #MACRO? #MACRO? 0.25 ### #MACRO? #MACRO? 0.30 ### #MACRO? #MACRO? 0.35 ### #MACRO? #MACRO? 0.40 ### #MACRO? #MACRO? 0.45 ### #MACRO? #MACRO? 0.50 ### #MACRO? #MACRO? 0.55 ### #MACRO? #MACRO? 0.60 ### #MACRO? #MACRO? 0.65 ### #MACRO? #MACRO? 0.70 ### #MACRO? #MACRO? 0.75 ### #MACRO? #MACRO? 0.80 ### #MACRO? #MACRO? 0.85 ### #MACRO? #MACRO? 0.90 ### #MACRO? #MACRO? 0.95 ### #MACRO? #MACRO? 1.00 ### #MACRO? #MACRO? Black-Scholes Greeks Delta graphs Put delta wrt time to expiration: Below is a two-dimensional data table. The table header is in cell A25 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 -1.0 -0.9 -0.8 -0.7 -0.6 -0.5 -0.4 -0.3 -0.2 -0.1 0.0 Put 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
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