optst - 30.00% (in %) Are any dividends expected during the...

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OPTION WORKSHEET: SHORT TERM OPTIONS VALUING A SHORT TERM OPTION - WITH DIVIDEND ADJUSTMENT This program calculates the value of a short term option (< 1 year) adjusting for dividends by subtracting the present value of expected dividend from the current value of the asset. Assumptions 1. All the assumptions underlying the Black-Scholes model apply 2.The amount of the dividend and the ex-dividend date are known. The user has to input the following variables 1. Current market value of the underlying asset 2. Variance in the ln(value) of the underlying asset 3. Strike price of the option 4. Riskless interest rate that corresponds to the life of the option 5. Time to expiration on the option 6. Expected dividends and date of ex-dividend payments. Inputs relating to the underlying asset Enter the current market value of the underlying asset $112.50 (in currency) Enter the standard deviation in ln(market value) of the underlying asset
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Unformatted text preview: 30.00% (in %) Are any dividends expected during the option's lifetime? Yes (Yes or No) If yes, enter the number of dividends expected 1 (in #) (Maximum=4) Enter the expected value and time till each dividend payments Dividend # Expected $ Time until DPS payment (in days) 1 $1.10 45 Inputs on the option Enter the strike price of the option $110.00 (in currency) Enter the time to expiration on the option (in days) 52 (in days) General Inputs Enter the annualized riskless rate corresponding to option lifetime 8.00% (in %) VALUING A LISTED OPTION Stock Price= $112.50 Interest rate= 8.00% Strike Price= $110.00 Variance= 0.09 Expiration (as fraction of yr) = 0.1424657534 PV of Expected Dividend= $1.09 d1 = 0.269781598 N(d1) = 0.60633586 This is the option delta d2 = 0.15654769 N(d2)= 0.562199334 Value of the call = $6.41 Value of the put= Call - Stock Price + K e (-rt) = $3.75...
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This note was uploaded on 01/29/2012 for the course FIN 6000 taught by Professor Banko during the Fall '11 term at University of Florida.

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