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S ($) 40 type d'option 2

Européenne
K ($) 40
r (%) 8%
Américaine
δ (%) 6%
σ (%) 30%
T (ans) 1
N 20 genre d'option
Call
Option Price
● Put

Δ
Γ
θ (journalier)
vega(par pourcent*)
ρ(par pourcent*)
Ψ(par pourcent*)
Ω

* On entend par "par pourcent" , le changement dans le prix
de l'option par pourcent de changement dans le paramètre var
2

le changement dans le prix
ngement dans le paramètre variable
Stock's tree

73.82
68.96
64.42 64.55
60.18 60.3
56.22 56.33 56.45
52.52 52.63 52.73
49.06 49.16 49.26 49.36
45.83 45.93 46.02 46.11
42.82 42.9 42.99 43.08 43.16
40 40.08 40.16 40.24 40.32
37.44 37.52 37.59 37.67 37.74
35.05 35.12 35.19 35.26
32.81 32.87 32.94 33
30.71 30.77 30.83
28.75 28.8 28.86
26.91 26.96
25.19 25.24
23.58
22.07

Option's tree
0
0.02
0.07 0.04
0.2 0.13
0.44 0.32 0.21
0.82 0.66 0.5
1.39 1.19 0.99 0.78
2.15 1.93 1.7 1.45
3.1 2.87 2.63 2.37 2.09
4.23 4.01 3.78 3.53 3.25
5.32 5.11 4.88 4.63 4.36
6.58 6.39 6.18 5.96
8.01 7.85 7.68 7.5
9.59 9.46 9.34
11.29 11.21 11.14
13.09 13.04
14.81 14.76
16.42
17.93

Valeur de l'option = 4.23
145.83
136.23
127.27 127.52
118.89 119.13
111.06 111.29 111.51
103.75 103.96 104.17
96.93 97.12 97.31 97.51
90.55 90.73 90.91 91.09
84.59 84.76 84.93 85.1 85.27
79.02 79.18 79.34 79.5 79.65
73.97 74.11 74.26 74.41 74.56
69.1 69.24 69.38 69.51 69.65
64.68 64.81 64.94 65.07 65.2
60.42 60.54 60.67 60.79 60.91
56.56 56.67 56.79 56.9 57.01
52.84 52.94 53.05 53.15 53.26
49.46 49.56 49.66 49.76 49.86
46.2 46.3 46.39 46.48 46.57
43.25 43.34 43.42 43.51 43.6
40.4 40.48 40.56 40.65 40.73
37.82 37.89 37.97 38.05 38.12
35.33 35.4 35.47 35.54 35.61
33.07 33.14 33.2 33.27 33.34
30.89 30.96 31.02 31.08 31.14
28.92 28.98 29.03 29.09 29.15
27.01 27.07 27.12 27.18 27.23
25.29 25.34 25.39 25.44 25.49
23.62 23.67 23.72 23.77 23.81
22.11 22.16 22.2 22.25 22.29
20.66 20.7 20.74 20.78 20.82
19.34 19.37 19.41 19.45 19.49
18.1 18.14 18.17 18.21
16.94 16.98 17.01 17.04
15.86 15.89 15.92
14.84 14.87 14.9
13.9 13.92
13.01 13.03
12.18
11.4

0
0
0 0
0 0
0 0 0
0 0 0
0 0 0 0
0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0.01 0 0 0 0
0.01 0 0 0 0
0.06 0.02 0 0 0
0.11 0.04 0 0 0
0.35 0.2 0.08 0 0
0.57 0.36 0.16 0 0
1.19 0.91 0.62 0.3 0
1.79 1.44 1.05 0.59 0
2.95 2.61 2.22 1.76 1.14
4.07 3.73 3.34 2.87 2.22
5.72 5.46 5.17 4.84 4.5
7.31 7.11 6.92 6.73 6.66
9.22 9.1 8.98 8.92 8.86
11.08 11.02 10.97 10.91 10.85
12.99 12.93 12.88 12.82 12.77
14.71 14.66 14.61 14.56 14.51
16.38 16.33 16.28 16.23 16.19
17.89 17.84 17.8 17.75 17.71
19.34 19.3 19.26 19.22 19.18
20.66 20.63 20.59 20.55 20.51
21.9 21.86 21.83 21.79
23.06 23.02 22.99 22.96
24.14 24.11 24.08
25.16 25.13 25.1
26.1 26.08
26.99 26.97
27.82
28.6
156.1

136.5

119.37

104.38

91.27

79.81

69.79

61.03

53.37

46.67

40.81

35.68

31.2

27.29

23.86

20.86

18.25

15.95

13.95

12.2

10.67

0

0

0

0

0
0

0

0

0

0

0

4.32

8.8

12.71

16.14

19.14

21.75

24.05

26.05

27.8

29.33