final_3

final_3 - stike price 19,121.00 19,121.00 what he got to...

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20000 Number of calls 40000 number of puts stike price what he got to sell option 20000 open position long in contracts 19,121.00 23403440.35 19,121.00 38782125.74 19000 open position in long contract Futures nikki end here P/L Call Put Open position call+put 21000 64605566.08 ### ### 40000000 24605566.08 20000 64605566.08 ### ### 20000000 44605566.08 19000 57345566.08 ### ### 0 57345566.08 18000 -2654433.92 ### ### -20000000 17345566.08 17000 -62654433.92 ### ### -40000000 -22654433.92 12/15/1994 19121 ATM price Japan risk free rate 0.04 Volatility 0.28 time 3 months 0.25 margin had to post in yen 19,000,000,000.00 yen Japan risk free rate 0.04 Website gives average used for year I read some Japanese! Or can use Japanese data from sheet JapanRates 12/23/1994 0.05 http://www.iicp.co.jp/library/debt.html -8000000 -6000000 -4000000 -2000000 2000000 4000000 6000000 8000000 - - -
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1 2 3 4 5 00 00 00 00 0 00 00 00 00 1 2 3 4 5 -30000000 -20000000 -10000000 0 10000000 20000000 30000000 40000000 50000000 60000000 70000000
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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 19121.000 Exercise Price 19121.000 ### Risk-Free Rate (%) japanRFR 4.22% 1 Current Yield (%) 0.00% 10.000 Time to Expiration (yrs) 0.250 Volatility (%) nikki225 Vol 28.14% margin had to pos 19,000,000,000.00 yen Output: BSOPM Value: $1,170.172 ### Delta (Hedge Ratio): 0.558 0.559 Gamma: 0.000 Theta (Time Decay Per Day): -6.917 Vega 37.740 BSOPM Value: $969.553 ### Delta (Hedge Ratio): -0.442 -0.441 Gamma: 0.000 0.000 Theta (Time Decay Per Day): -4.730 Vega 37.740 ***Internal Computations*** Compute 1: Yield-Adj. Asset Price 19121.000 d1 0.15 0.15 0.15 0.15 d2 0 0.01 0.01 0.01 Compute 2: N(d1) 0.56 0.56 0.56 0.56 0.39 0.39 0.39 0.39 N(d2) 0.5 0.5 0.5 0.5 Call Option: Put Option: N ' (d1)
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0.07 0.08 0.01 12000 7547.17
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### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 9.000 8.000 7.000 6.000 5.000 4.000 3.000 2.000 1.000 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 0.559 0.559 0.559 0.559 0.559 0.558 0.558 0.558 0.558 0.558 0.558 0.557 0.557 0.557 0.557 0.557 0.557 0.557 0.556 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### -0.441 -0.441 -0.441 -0.441 -0.441 -0.442 -0.442 -0.442 -0.442 -0.442 -0.442 -0.443 -0.443 -0.443 -0.443 -0.443 -0.443 -0.443 -0.444 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.15 0.15 0.15 0.15 0.15 0.15 0.15 0.15 0.14
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This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

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final_3 - stike price 19,121.00 19,121.00 what he got to...

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