final_1

# final_1 - contract size 1000 Number of barrels 1,000,000...

This preview shows pages 1–5. Sign up to view the full content.

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

View Full Document

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

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: contract size 1000 Number of barrels 1,000,000 Asst Price 23.81 5% OTM 25 Volatility 0.32 Used standard deviation of rtns for 3 years (annualized) Risk-free rate 0.08 Sheets are hidden to unhide, format->sheets->unhide Year Call option value Delta hedge Value of call Hedged Position 1 3.36 0.6 3359993.97 597545.14 2 5.38 0.68 5383305.1 675683.99 3 7.03 0.73 7034638.68 726243.46 4 8.46 0.76 8460949.71 764117.44 5 9.72 0.79 9723243.01 794280.74 6 10.86 0.82 10855273.49 819126.41 7 11.88 0.84 11878819.07 840032.55 8 12.81 0.86 12809350.85 857883.81 9 13.66 0.87 13658598.68 873290.78 10 14.44 0.89 14435873.91 886697.16 This program calculates Black-Scholes values for European-Style call and put options on an underlying asset that pays a continuous yield. The user must input six values: current price of the underlying asset; exercise price; risk-free rate; current cash yield of the underlying asset; time to expiration; and the volatility of the asset. The calculated output includes the value of both a call and put option at the designated strike price, the hedge ratios (i.e., "deltas"), and the gamma and theta coefficients for each contract. Input: Asset Price 23.81 Exercise Price 25.001 13.81 Risk-Free Rate (%) 7.63% 0.58 Current Yield (%) 0.00% 10.000 Time to Expiration (yrs) 1.000 Volatility (%) 32.44% Output: BSOPM Value: \$3,359.99 \$3.360 \$11.1 Delta (Hedge Ratio): 0.598 0.981 Gamma: 0.050 Theta (Time Decay Per Day):-0.006 Vega 0.092 BSOPM Value: \$2.714 \$0.060 Delta (Hedge Ratio):-0.402-0.019 Gamma: 0.050 0.006 Theta (Time Decay Per Day):-0.002 Vega 0.092 ***Internal Computations*** Compute 1: Yield-Adj. Asset Price 23.810 d1 0.25 2.08 1.86 1.66 d2-0.08 1.75 1.54 1.34 Compute 2: N(d1) 0.6 0.98 0.97 0.95 0.39 0.05 0.07 0.1 N(d2) 0.47 0.96 0.94 0.91 Call Option: Put Option: N ' (d1) 0.07 0.08 0.01 12000 7547.17 14.81 15.81 16.81 17.81 18.81 19.81 20.81 21.81 22.81 23.81 24.81 25.81 26.81 27.81 28.81 29.81 30.81 31.81 32.81 0.62 0.66 0.71 0.75 0.79 0.83 0.87 0.92 0.96 1 1.04 1.08 1.13 1.17 1.21 1.25 1.29 1.34 1.38 9.000 8.000 7.000 6.000 5.000 4.000 3.000 2.000 1.000 \$10.2 \$9.3 \$8.5 \$7.7 \$7.0 \$6.3 \$5.6 \$5.0 \$4.4 \$3.9 \$3.4 \$3.0 \$2.6 \$2.3 \$2.0 \$1.7 \$1.5 \$1.3 \$1.1 0.969 0.952 0.929 0.902 0.870 0.833 0.792 0.748 0.702 0.654 0.607 0.559 0.513 0.468 0.425 0.384 0.346 0.310 0.277 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ###-0.031 -0.048 -0.071 -0.098 -0.130 -0.167 -0.208 -0.252 -0.298 -0.346 -0.393 -0.441 -0.487 -0.532 -0.575 -0.616 -0.654 -0.690 -0.723 0.009 0.013 0.018 0.022 0.027 0.032 0.037 0.041 0.045 0.048 0.050 0.051 0.052 0.051 0.051 0.049 0.048 0.046 0.043 1.47 1.29 1.12 0.96 0.81 0.67 0.53 0.4 0.27 0.15 0.03-0.08-0.19-0.3-0.4-0.5-0.59-0.68 1.15 0.97 0.8 0.64 0.49 0.34 0.21 0.07-0.05-0.18-0.29-0.41-0.51-0.62-0.72-0.82-0.92-1.01 0.93 0.9 0.87 0.83 0.79 0.75 0.7 0.65 0.61 0.56 0.51 0.47 0.42 0.38 0.35 0.31 0.28 0.25 0.14 0.17 0.21 0.25 0.29 0.32 0.35 0.37 0.38 0.39 0.4 0.4 0.39 0.38 0.37 0.35 0.34 0.32 0.87 0.83 0.79 0.740....
View Full Document

## This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

### Page1 / 485

final_1 - contract size 1000 Number of barrels 1,000,000...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online