S 75

K 75
T 0.25
r 6%
rf 2%
Daily Volatility 15%
Annualised Volatility 20%
r-rf 4%
d1 0.15
d2 0.05
N(d1) 0.559617692370242
N(d2) 0.519938805838372
N(-d1) 0.440382307629757
N(-d2) 0.480061194161628

C 3.34714964932976
P 2.60460918010829

Parity 79.1009121806424
77.6046091801083
Spot Price 1150
r 11%
t 0.08
e^rt 1.00920880922606
Future Price 1160.59013060997
Current value of Nifty 4000
Multiplier 100
Total value of Nifty 400000
Weight of given share in Nifty 7%
Value in nifty 28000
Number of Shares 200
e^rt 1.01657420932109
e^r(T-t) 1.01240507966339
S*e^rt 4066.29683728437
D*e^rt 4049.62031865355
D*e^rt/Multiplier 40.4962031865355
Value of index Future 4025.80063409784
Market Price 140
Dividend /share 20
r 10%
Total no. of days for which future is to be valued 60
No. of days after which dividend is paid 15
T 0.164383561643836
T-t 0.123287671232877
Spot Price 4000
t 0.164383561643836
r 10%
q 2%
e^((r-q)*t) 1.01323753548576
Future Price 4052.95014194305
Spot Price 4000
Dividend 80
PV of dividend 78.6956813053787
r 10%
t 0.164383561643836
e^rt 1.01657420932109
e^-rt 0.983696016317233
F 3986.29683728437