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  UN-13B1234567891011121314151617 ABCDEFG Exercise 1 S50Current stock priceX50Exercise priceT0.50000Time to maturity of option (in years)r10.00%Risk-free rate of interestSigma25%Stock volatilityd 1 0.3712<-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))d 2 0.1945<-- d 1 -sigma*SQRT(T)N(d 1 )0.6448<-- Uses formula NormSDist(d 1 )N(d 2 )0.5771<-- Uses formula NormSDist(d 2 )Call price4.79<-- S*N(d 1 )-X*exp(-r*T)*N(d 2 )Put price2.35<-- call price - S + X*Exp(-r*T): by Put-Call parity2.35<-- X*exp(-r*T)*N(-d 2 ) - S*N(-d 1 ): direct formula  UN-13B123456789101112131415 ABCDEFG Exercise 2 S33Current stock priceX40Exercise priceT0.50000Time to maturity of option (in years)r6.00%Risk-free rate of interestSigma79%Stock volatilityd 1 -0.0085<-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))d 2 -0.5699<-- d 1 -sigma*SQRT(T)N(d 1 )0.4966<-- Uses formula NormSDist(d 1 )N(d 2 )0.2844<-- Uses formula NormSDist(d 2 )Call price5.35<-- S*N(d 1 )-X*exp(-r*T)*N(d 2 )  UN-13B1234567891011121314151617 ABCDEFG Exercise 3 S25Current stock priceX25Exercise priceT1.00000Time to maturity of option (in years)r5.00%Risk-free rate of interestSigma58%Stock volatilityd 1 0.3771<-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))d 2 -0.2055<-- d 1 -sigma*SQRT(T)N(d 1 )0.6470<-- Uses formula NormSDist(d 1 )N(d 2 )0.4186<-- Uses formula NormSDist(d 2 )Call price6.22<-- S*N(d 1 )-X*exp(-r*T)*N(d 2 )Put price5.00<-- call price - S + X*Exp(-r*T): by Put-Call parity5.00<-- X*exp(-r*T)*N(-d 2 ) - S*N(-d 1 ): direct formula  UN-13B123456789101112131415161718192021222324252627 ABCDEFG Exercise 4 S40Current stock priceX38Exercise priceT0.50000Time to maturity of option (in years)r4.00%Risk-free rate of interestSigma30%Stock volatilityd 1 0.4421<-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))d 2 0.2300<-- d 1 -sigma*SQRT(T)N(d 1 )0.6708<-- Uses formula NormSDist(d 1 )N(d 2 )0.5910<-- Uses formula NormSDist(d 2 )Call price4.82<-- S*N(d 1 )-X*exp(-r*T)*N(d 2 ) StockCallvolatilityprice 10%2.9762220%3.8238830%4.8205340%5.8562450%6.9043860%7.95485

La Haine

Jul 23, 2017

Economics project

Jul 23, 2017
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