hw4-1 - This program calculates Black-Scholes values for...

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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 49.700 Exercise Price 50.000 39.70 40.70 Risk-Free Rate (%) 4.08% 0.8 0.82 Current Yield (%) 0.00% 10.000 9.000 Time to Expiration (yrs) 0.110 Volatility (%) 30.11% Output: BSOPM Value: $1.939 $10.2 $9.2 Delta (Hedge Ratio): 0.514 0.991 0.982 Gamma: 0.080 Theta (Time Decay Per Day): -0.027 Vega 0.066 BSOPM Value: $2.016 $0.016 ### Delta (Hedge Ratio): -0.486 -0.009 -0.018 Gamma: 0.080 0.005 0.009 Theta (Time Decay Per Day): -0.022 Vega 0.066 ***Internal Computations*** Compute 1: Yield-Adj. Asset Price 49.700 d1 0.03 2.35 2.1 1.86 1.62 d2 -0.07 2.25 2 1.76 1.52 Compute 2: N(d1) 0.51 0.99 0.98 0.97 0.95 0.4 0.03 0.04 0.07 0.11 N(d2) 0.47 0.99 0.98 0.96 0.94 Call Option: Put Option: N ' (d1) -5 -1.5 -1 -0.5 0 0.5 1 1.5 2 2.5
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0.07 0.08 0.01 12000 7547.17
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41.70 42.70 43.70 44.70 45.70 46.70 47.70 48.70 49.70 50.70 51.70 52.70 53.70 54.70 55.70 56.70 57.70 58.70 59.70 0.84 0.86 0.88 0.9 0.92 0.94 0.96 0.98 1 1.02 1.04 1.06 1.08 1.1 1.12 1.14 1.16 1.18 1.2 8.000 7.000 6.000 5.000 4.000 3.000 2.000 1.000 $8.2 $7.3 $6.4 $5.5 $4.7 $3.9 $3.2 $2.6 $2.1 $1.6 $1.2 $0.9 $0.7 $0.5 $0.4 $0.3 $0.2 $0.1 $0.1 0.968 0.947 0.917 0.877 0.825 0.764 0.694 0.617 0.538 0.458 0.382 0.311 0.248 0.193 0.147 0.110 0.080 0.058 0.041 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### -0.032 -0.053 -0.083 -0.123 -0.175 -0.236 -0.306 -0.383 -0.462 -0.542 -0.618 -0.689 -0.752 -0.807 -0.853 -0.890 -0.920 -0.942 -0.959
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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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hw4-1 - This program calculates Black-Scholes values for...

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