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    13 views4 pages

    Options

    Uploaded by

    Saumitra Nanda

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 4

    So

    X
    r
    t

    80
    81
    82
    83
    84
    85
    86
    95
    95
    95
    95
    95
    95
    95
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192
    25%
    25%
    25%
    25%
    25%
    25%
    25%

    d1
    N(d1)
    d2
    N(d2)

    -2.26439 -2.09107 -1.91988 -1.75076 -1.58366 -1.41854 -1.25536


    0.011775 0.018261 0.027437 0.039994 0.056636 0.078016 0.104675
    -2.33607 -2.16274 -1.99155 -1.82243 -1.65533 -1.49021 -1.32703
    0.009744 0.01528 0.02321 0.034195 0.048929 0.068084 0.09225

    C
    Int. Val
    T Val

    0.02
    0
    0.02

    0.04
    0
    0.04

    0.06
    0
    0.06

    0.09
    0
    0.09

    0.14
    0
    0.14

    0.21
    0
    0.21

    0.30
    0
    0.30

    18.00
    16.00 87

    95
    8.50%
    12.00
    0.082192
    10.0025%
    14.00

    88
    89
    90
    91
    92
    93
    94
    95
    95
    95
    95
    95
    95
    95
    95
    95
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192
    25%
    25%
    25%
    25%
    25% Call Option
    25% Price 25%
    25%
    Intrinsic Value

    8.00

    -1.09406
    -0.9346 -0.77694 -0.62105 -0.46688 -0.31439 -0.16356
    Time Value
    6.00
    0.136965 0.174998 0.218596 0.267283 0.320293 0.376611 0.43504
    4.00
    -1.16573
    -1.00627 -0.84862 -0.69272 -0.53855 -0.38607 -0.23523
    0.121862
    0.157142 0.198047 0.244242 0.295098 0.349723 0.407015
    2.00
    0.00

    0.58
    0
    0.58

    0.77
    0
    0.77

    1.01
    0
    1.01

    1.31
    0
    1.31

    80
    82
    84
    86
    88
    90
    92
    94
    96
    98
    100
    102
    104
    106
    108
    110

    0.42
    0
    0.42

    1.66
    0
    1.66

    2.06
    0
    2.06

    -0.01433
    0.494282
    -0.08601
    0.465731

    0.133311
    0.553026
    0.061639
    0.524575

    2.53
    0
    2.53

    3.05
    0
    3.05

    96
    97
    98
    99
    100
    101
    102
    103
    104
    95
    95
    95
    95
    95
    95
    95
    95
    95
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192 0.082192
    25%
    25%
    25%
    25%
    25%
    25%
    25%
    25%
    25%
    0.27941
    0.610035
    0.207737
    0.582283

    0.423995
    0.664215
    0.352322
    0.637702

    0.567097
    0.714676
    0.495424
    0.689849

    0.708745
    0.760759
    0.637073
    0.737961

    3.63
    1
    2.63

    4.27
    2
    2.27

    4.96
    3
    1.96

    5.70
    4
    1.70

    0.848971 0.987801 1.125263 1.261384 1.39619


    0.802051 0.838375 0.869761 0.896415 0.918671
    0.777298 0.916128 1.05359 1.189711 1.324517
    0.781509
    0.8202 0.853965 0.88292 0.907334
    6.48
    5
    1.48

    7.30
    6
    1.30

    8.15
    7
    1.15

    9.04
    8
    1.04

    9.95
    9
    0.95

    105
    106
    107
    108
    109
    110
    95
    95
    95
    95
    95
    95
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    8.50%
    0.082192 0.082192 0.082192 0.082192 0.082192 0.082192
    25%
    25%
    25%
    25%
    25%
    25%
    1.529706
    0.936955
    1.458033
    0.927584

    1.661956
    0.951739
    1.590283
    0.944115

    1.792965
    0.963511
    1.721292
    0.957401

    10.87
    10
    0.87

    11.82
    11
    0.82

    12.78
    12
    0.78

    1.922754 2.051348 2.178767


    0.972745 0.979883 0.985326
    1.851082 1.979675 2.107094
    0.967921 0.97613 0.982445
    13.74
    13
    0.74

    14.72
    14
    0.72

    15.70
    15
    0.70

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