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lecture12 - Delta call 0.9501 0.1728 alpha 0.333333 Delta...

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Black-Scholes calculator 5 bonds Asset price 50.00 50.00 6 face Strike 30.00 90.00 Time 2.00 2.00 Plain-vanilla risky debt Risk-free return 5.00% 5.00% 26.69 26.69 5.337438 Divident yield 0.00% 0.00% 1+r_D 1.060252 Volatility 30.00% 30.00% Credit spread 1.03% Call price 23.3128 1.6403 Each bond can be converted into 2m shares Put price 0.5237 33.2729 The firm has 20m shares outstanding
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Unformatted text preview: Delta call 0.9501 0.1728 alpha 0.333333 Delta put (0.0499) (0.8272) Gamma 0.0049 0.0121 Convertible bonds Theta call (1.7262) (1.6974) 27.23 Theta put (0.3986) 2.2855 1+r_D 1.049555 Vega 7.2771 18.0791 Credit spread-0.04% 1+r_f 1.05 1.05 x 1.6462-0.9433 N(x) 0.9501 0.1728 N(x2) 0.8891 0.0857 N'(x) 0.1029 0.2557...
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