Assignment

Table 1 Find the value of the European Call and Put Options and the

value of the Greeks of the Options ( , , , ) ?

	DELTA	=KAPPA	=THETA	OR V VEGA LAMBDA
ST = 30	ST =33	ST =30	ST =30	ST =30
X=25	X=25	X=29	X=25	X=25
T= 3/12	t= 3/12	T= 3/12	t= 4/12	t=3/12
= 0.16	= 0.16	= 0.16	= 0.16	= 0.25
RF= 3%	rf=3%	rf=3%	rf=3%	rf=3%
CE = $	CE = $	CE = $	CE = $$	CE = $
PE = $	PE = $	PE = $	PE = $	PE = $

question 5 is example

Question 5: Find the value of the European Call and Put Options and the value of the Greeks of the Options (K, 0,1,4)? 3 4 A=DELTA K=KAPPA ETHETA A OR V VEGA LAMBDA S = 44 S = 50 ST = 44 Sy = 44 Sy = 44 X=40 X=40 X=45 X=40 X=40 3 3 3 t= to- ta 12 12 12 12 12 O = 0.25 o = 0.25 o = 0.25 O = 0.25 0 = 0.49 RF= 5% rf= 5% rf=5% rf= 5% rf= 5% CE = $5.00 CE=$10.5758 CE =$1.9028 CE =$$5.4823 CE =$6.6320 pe= $0.5031 PE=$0.0789 PE=$2.3438 PE=$0.8211 PE=$2.1351 in (85)+(vs+)(c) in ()+(0.05+0232) d1= = 0.9249 ovt 0.25 3 12 0.92 d 2 = d.-ovt = 0.9249 -0.25* 0.7999 0.80 CF = S IN (d1)-Xe-rft N(d2) = = 44(0.8212)-40(2.718282) (-0.05) (11) (0.7881) = $5.000 ~ $5.00 PE= CE + Xe -rft - Sp = 5.00 + 40(2.718282)(-0.05)(12) 44 = $0.5031 1. 8 = a = The Delta of the European Call and Put Options: in (3)+(vs+%*)(0) d = in (99)+(0.05+0282) 125/1 = 1.9476 ovt 0.25 1.95 3 d2 = d-ovt = 1.9476 -0.25* 1.8217 1.82 12 CF = SGN (d)-Xe-vft N(d2) = = 50(0.9744)-40(2.718282)(-0.05)(1)(0.9656) = $10.5758 PE= CE + Xe-rft - Sy = 10.5758 + 40(2.718282)(-0.05)(17) 50 = $0.0789 A --CE 10.5758-5.00 50-44 0.9293 Cents. ST-ST When the Terminal Stock Price St increased to 50 dollars the European Call option is increasing by 0.9293 Cents A Pe-P ST-ST 0.0789-0.5031 50-44 :-0.0707 Cents When the Terminal Stock Price Sy increased to 50 dollars the European Put option is decreasing by -0.0707 Cents. 2. The K=Kappa of the European Call and Put Options 7 in (H)+(+5+