lecture11

lecture11 - 5.00 Risk-free return 5.00% 0.05 In loan...

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Black-Scholes calculator Senior Junior Face 50 10 Asset price 80.00 80.00 Strike 50.00 60.00 Value of SENIOR 40.71 40.71 Time 2.00 2.00 Value of JUNIOR 7.17 Risk-free return 10.00% 10.00% Value of EQUITY 32.12 Divident yield 0.00% 0.00% Volatility 30.00% 30.00% 1+r_D 1.1083 1.180967 Credit spread 0.83% 8.10% Call price 39.2943 32.1242 Put price 0.6166 1.7110 Delta Senior 0.0384 Delta call 0.9616 0.9098 Delta Junior 0.0518 Delta put (0.0384) (0.0902) Delta Equity 0.9098 Gamma 0.0025 0.0048 Theta call (4.2944) (5.2555) Theta put (0.3560) (0.5294) Vega 9.4363 18.4033 1+r_f 1.10 1.10 x 1.7692 1.3395 N(x) 0.9616 0.9098 N(x2) 0.9107 0.8200 N'(x) 0.0834 0.1627
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Black-Scholes calculator SI KI NPV 4 3 Asset price 147.00 147.00 Investment 30 10 Strike 46.76 68.62 Volatility 0.5 0.6 Time 5.00
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Unformatted text preview: 5.00 Risk-free return 5.00% 0.05 In loan officer's shoes Divident yield 0.00% 0.00 How much should we ask from the firm? Volatility 60.00% 0.60 "I owe you F" in exchange for 30 What should F be? Call price 117.0000 107.0000 Face 46.76497 Put price 6.6416 13.7675 1+r_D 1.092848 Delta call 0.9560 0.9223 Value of risky debt Delta put (0.0440) (0.0777) 30.00 30.00 Gamma 0.0005 0.0007 Theta call (2.9833) (4.2630) Junior debt face 21.85748 Theta put (1.1956) (1.6397) Value junior debt 10.00 Vega 30.5839 47.8151 Value Equity 107.00 1+r_f 1.05 1.05 x 1.7063 1.4205 N(x) 0.9560 0.9223 N(x2) 0.6423 0.5314 N'(x) 0.0930 0.1455...
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lecture11 - 5.00 Risk-free return 5.00% 0.05 In loan...

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