lecture14

lecture14 - Black-Scholes calculator Asset price Strike...

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Black-Scholes calculator Asset price 600.00 650.00 650.00 Strike 500.00 500.00 550.70 F_J 50.70 Time 2.00 2.00 2.00 Risk-free return 5.00% 5.00% 5.00% Value of jun 40.0000 Divident yield 0.00% 0.00% 0.00% Volatility 15.00% 17.50% 17.50% Value of the risky debt Call price 151.2994 200.8273 160.8273 448.7006 Put price 4.8141 4.3420 10.3319 Delta call 0.9230 0.9427 0.8826 Value of the risky debt Delta put (0.0770) (0.0573) (0.1174) 449.17 Gamma 0.0011 0.0007 0.0012 Theta call (24.2335) (24.7176) (28.0658) Theta put (2.1065) (2.5906) (3.6949) Vega 122.5462 105.5669 181.1093 1+r_f 1.05 1.05 1.05 x 1.4255 1.5781 1.1879 N(x) 0.9230 0.9427 0.8826 N(x2) 0.8875 0.9083 0.8265 N'(x) 0.1444 0.1148 0.1970
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4-month option RNPs r 1.01 hat pu 0.481818 u 1.2 hat pd 0.518182 d 0.833333 Consider pricing a European put K=110 Stock tree 100.00 120.00 144.00 172.80 207.36 18.33 9.24 2.63 - - 83.33 100.00 120.00 144.00 27.12 15.57 5.13 - 69.44 83.33 100.00 38.39 25.58 10.00 57.87 69.44 51.04 40.56 48.23 61.77
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lecture14 - Black-Scholes calculator Asset price Strike...

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