Calculate call option price
[DOC File]Financial Instrument Pricing using C++
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The current price of the stock is $100 per share and the price of a three-month call option at an exercise price of $100 is $10. ... Use the following data to calculate the value of a call option on $/£ exchange rate: Time to maturity = 6 month. Standard deviation = 15%.
How to Calculate Option Value | Sapling
Calculate the value of a six-month European call option on the stock with an exercise price of $48. Verify that no-arbitrage arguments and risk-neutral valuation arguments give the same answers. At the end of six months the value of the option will be either $12 (if the stock price is $60) or $0 (if the stock price …
[DOC File]CHAPTER 24
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‘Core business’ functions: these are the functions that calculate the price and the delta for the option. Other functions: for example, it is possible to switch a call option to a put option (and vice versa). Of course, the price and delta will be different! The full interface for the option class is now given. // EurpeanOption.hpp. # ...
[DOC File]Index of [finpko.ku.edu]
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Option price. Delta. Gamma. Theta. Vega and. Rho. Probability to reach strike price at maturity. If the option is of European type or an American call option, the values are compared with the values given by Black-Scholes. The probability is calculated by the Black-Scholes formula since we only calculate the probability to reach the strike at ...
[DOC File]The Binomial-tree Option Calculator
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(d) 17 Use the Black-Scholes option pricing model to calculate the price of a call option. $5.935. $4.935. $3.935. $2.935. None of the above (a) 18 Calculate the price of the put option. $7.623. $8.623. $9.623. $10.623. None of the above (a) 19 Assume that you have just sold a stock for a loss at a price …
[DOC File]Solutions to Assignment 5
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Suppose that the current stock price is $100, the call option price on stock is $10, and the current delta of the call option is 0.4. A financial institution sold 10 call option to its client, so that the client has right to buy 1,000 shares at time to maturity.
[DOC File]Option – Practice
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1. calculate d1 (=0.3181) and N(d1) (=0.6248) ... 14. Call option with a high exercise price will have a lower hedge ratio. 20. Hedge ratio of at-the-money call on IBM = 0.4. Hedge ratio of at-the-money put on IBM = -0.6. At-the-money straddle is formed by buying 1 call and 1 put. The sum of the two individual hedge ratios gives the hedge ratio ...
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