Values

Input variables

Exercise price
Volatility
dt

110
30%
1 1

Underlying asset price

100

Dividend rate

2%

Risk free rate

3%

Futures
103.0454534

e^(x*dt)

x= () e^(k*dt) k=(-)
Exp(r*dt)
Exp((r-q)*dt)
RNP

Returns

Up

Down

Values

1.35

0.74

1.0305

182.212
100
54.8812

245.9603111
134.9858808
74.08182207
40.65696597

Asset dynamics
100 134.98588
74.081822

44.21%
Strange

Call dynamics (European)

18.2034 36.629022 71.8548
4.5983043 10.7188
0

135.9603111
24.98588076
0
0

Call dynamics (American)

18.2691 36.782193
4.5983043

1.01

72.2119
10.7188
0

0.193825 0.38245
0.05496

Put dynamics (European)

24.55938 10.5301
37.0154

put dynamics (American)

135.9603111
24.98588076
0
0

25.19387 10.5301
38.1872

Check put-call parity

call-put
-6.355977021
B(F-X)
-6.355977021
Black-Scholes-Merton
call
30.671536
put
37.027513
B(F-X)
-6.355977
call-put -6.355977

T
Forward
Bond
d1
d2

3
103.045
0.91393
0.07346
-0.8752

-)

0.80828 1.69014
0.06594 0.1537
0.04925
0
0.09097
dynamics (European)

0
0
19.4479
0
52.9546 35.9182
69.343
t dynamics (American)
0
0
19.4479
0
55.1188 35.9182
69.343

( )
A
A

(), ()
8M2
28 19
2007.10~2010.07

578,763

6,000

19,500

295,799

17,818

7%
DCF

APT

(5.2
9%)
NPV
Cap

T=0

39000

39,000

T=1
T=2
T=3
173,629 231,505 173,629
6,000
173,629 231,505 179,629
156000
118312 118312
59156
6871
6871
6871
17818
281,183 125,183 83,845

-39,000 -107,554 106,322

95,784

-39000

82060
36,816

-102150

95907

5.29%

Exp(r*dt)
Exp((r-q)*dt)

10%

:
10% 40%

0
1
2
3

1. (t0)

20% 10%

( )

36,816

s
x
t

rf

A
527,624
490,807
3
1
7.10%
4.92%
1.0736

0.9315

S
X
T
dt

yr
yr
( )

1.0504
1.05
0.8371

0
p

T=0
36,816

T=1
39,525
34,293

T=2
42,434
36,816
31,943

T=3
45,556
39,525
34,293
29,753

2,462

131,296

3,682

36,816

148,259

225,023

3,682

140,957

122,136

208,229

3,682

140,957

122,297


( )

122,297

265,951

315,584

3,682

241,580

242,440

299,357

3,682

223,551

338,805

293,954

321,384

278,840

241,580

193,958
223,551

193,958