Option Prices

Option Prices - 2008 Chevy Impala LTZ - Regular Gasoline...

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Unformatted text preview: 2008 Chevy Impala LTZ - Regular Gasoline Inputs Interest rate 0.05 Time Steps Option Type Call Put or Call Dividend yield 10 Exercise Type European European o Volatility 0.47 Time to exp. 10 Strike 3189.05 P 0.43 Spot 2,000 u 1.6 d 0.63 8167.37 6259.07 5109.73 3555.95 3196.79 3196.79 1985.28 1786.87 2000.00 2000.00 1090.18 950.78 1251.26 1251.26 497.30 391.51 782.82 192.46 489.75 56.57 or American 85212.42 82297.85 53311.24 50524.92 33352.98 33352.98 30689.26 30438.41 20866.55 20866.55 18376.09 18080.22 13054.69 13054.69 13054.69 10820.75 10494.22 10140.11 8167.37 8167.37 5947.59 5571.26 5109.73 5109.73 5109.73 3294.59 2969.30 2545.55 3196.79 3196.79 1542.48 1229.67 2000.00 2000.00 2000.00 784.20 581.57 327.85 1251.26 1251.26 270.66 135.45 782.82 782.82 782.82 124.37 55.96 0.00 489.75 489.75 23.12 0.00 306.40 306.40 306.40 9.55 0.00 0.00 191.69 191.69 0.00 0.00 119.93 119.93 0.00 0.00 75.03 0.00 46.94 0.00 217706.36 214517.31 136203.10 133154.38 85212.42 82023.37 53311.24 50262.52 33352.98 30163.93 20866.55 17817.82 13054.69 9865.64 8167.37 5118.65 5109.73 1920.68 3196.79 793.54 2000.00 0.00 1251.26 0.00 782.82 0.00 489.75 0.00 306.40 0.00 191.69 0.00 119.93 0.00 75.03 0.00 46.94 0.00 29.37 0.00 18.37 0.00 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 2000.000 Exercise Price 3189.050 1990.00 ### Risk-Free Rate (%) 4.50% 1 1 Current Yield (%) 0.00% 10.000 9.000 Time to Expiration (yrs) 10.000 Volatility (%) 46.90% Output: BSOPM Value: $1,075.681 ### ### Delta (Hedge Ratio): 0.767 0.853 0.853 Gamma: 0.000 Theta (Time Decay Per Day):-0.181 Vega 19.324 BSOPM Value: $1,109.109 ### ### Delta (Hedge Ratio):-0.233-0.147 -0.147 Gamma: 0.000 0.000 0.000 Theta (Time Decay Per Day): 0.070 Vega 19.324 ***Internal Computations*** Compute 1: Yield-Adj. Asset Price 2000.000 d1 0.73 1.05 1.05 1.05 1.05 d2-0.75-0.43-0.44-0.44-0.44 Compute 2: N(d1) 0.77 0.85 0.85 0.85 0.85 0.31 0.23 0.23 0.23 0.23 N(d2) 0.23 0.33 0.33 0.33 0.33 Call Option: Put Option: N ' (d1)-5-1.5-1-0.5 0.5 1 1.5 2 2.5 0.07 0.08 0.01 12000 7547.17 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1.01 8.000 7.000 6.000 5.000 4.000 3.000 2.000 1.000 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 0.853 0.853 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.852 0.851 0.851 0.851 0.851 ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ###-0.147 -0.147 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.148 -0.149 -0.149 -0.149 -0.149-0....
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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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Option Prices - 2008 Chevy Impala LTZ - Regular Gasoline...

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