2 Assignment for Monday Build your own working version of a Black-Scholes calculator like the spread-...
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2 Assignment for Monday Build your own working version of a Black-Scholes calculator like the spread- sheet posted on Moodle alongside these notes. interest rate 0.00000 Euro Call 5.29889 dividend rate 0.00000 Euro Put 5.29889 expiry 0.50000 American Call 5.29889 h 0.12500 American Put 5.29889 S 100.00000 sigma 0.20000 u 1.07327 ld 0.93173 P 0.48233 1-p 0.51767 Stock 100.00000 107.32707 93.17314 115.19099 100.00000 86.81234 123.63111 132.68964 107.32707 115.19099 93.17314 100.00000 80.88679 86.81234 75.36383 Probability 1.00000 0.48233 0.23264 0.11221 0.06412 0.51767 0.49938 0.36130 0.23235 0.26798 0.38777 0.37406 0.13873 0.26765 0.07181 132.68964 0.06412 115.19099 0.23235 100.00000 0.37406 96.81234 0.26765 75.36383 0.07181 Euro Call Strike 100.00000 Euro Put Strike 100.00000 5.29889 9.15654 1.70458 15.19099 3.53406 23.63111 32.68964 5.29889 7.32707 15.19099 1.82948 8.53144 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 3.53406 13.18766 0.00000 0.00000 0.00000 0.00000 6.82686 19.11421 0.00000 13.18766 24.63617 American Call Strike 100.00000 American Put Strike 100.00000 5.29889 9.15654 1.70458 15.19099 3.53406 23.63111 7.32707 32.68964 5.29889 15.19099 1.82948 8.53144 0.00000 0.00000 0.00000 3.53406 0.00000 0.00000 0.00000 0.00000 0.00000 13.18766 6.82686 0.00000 0.00000 0.00000 19.11421 13.18766 0.00000 24.63617 Probability Distribution ! 0.4 0.3 0.2 0.1 0 75.3638316443765 86.8123445394585 100 Stock price 115.190991016891 132.689644114534 2 Assignment for Monday Build your own working version of a Black-Scholes calculator like the spread- sheet posted on Moodle alongside these notes. interest rate 0.00000 Euro Call 5.29889 dividend rate 0.00000 Euro Put 5.29889 expiry 0.50000 American Call 5.29889 h 0.12500 American Put 5.29889 S 100.00000 sigma 0.20000 u 1.07327 ld 0.93173 P 0.48233 1-p 0.51767 Stock 100.00000 107.32707 93.17314 115.19099 100.00000 86.81234 123.63111 132.68964 107.32707 115.19099 93.17314 100.00000 80.88679 86.81234 75.36383 Probability 1.00000 0.48233 0.23264 0.11221 0.06412 0.51767 0.49938 0.36130 0.23235 0.26798 0.38777 0.37406 0.13873 0.26765 0.07181 132.68964 0.06412 115.19099 0.23235 100.00000 0.37406 96.81234 0.26765 75.36383 0.07181 Euro Call Strike 100.00000 Euro Put Strike 100.00000 5.29889 9.15654 1.70458 15.19099 3.53406 23.63111 32.68964 5.29889 7.32707 15.19099 1.82948 8.53144 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 3.53406 13.18766 0.00000 0.00000 0.00000 0.00000 6.82686 19.11421 0.00000 13.18766 24.63617 American Call Strike 100.00000 American Put Strike 100.00000 5.29889 9.15654 1.70458 15.19099 3.53406 23.63111 7.32707 32.68964 5.29889 15.19099 1.82948 8.53144 0.00000 0.00000 0.00000 3.53406 0.00000 0.00000 0.00000 0.00000 0.00000 13.18766 6.82686 0.00000 0.00000 0.00000 19.11421 13.18766 0.00000 24.63617 Probability Distribution ! 0.4 0.3 0.2 0.1 0 75.3638316443765 86.8123445394585 100 Stock price 115.190991016891 132.689644114534
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