• Using the provided electronic spreadsheet called "Black Scholes Merton Calculator" make the following modifications:
  • In the analysis scenario change the " Strike Price " @ $15.00
  • In the analysis scenario change " Volatility " @ 20.00%
  • In the analysis scenario change the " Risk Free Rate " to $2.00
  • In the analysis scenario change the " Option Term " @ 1.5
  • In the analysis scenario change the Underlying @ $12.00
• After doing this exercise, consider the following:
  • Which of the scenarios entails more change or sensitivity in the two (2) types of options (Call's & Put's)?
  • Which of the variables provides more sensitivity? Why?
  • The "Black Scholes" valuation model is based on a Partial Derivatives model or on the "Greek" analysis (Delta, Gamma, Theta, Vega & Rho). Integrate the Greek definition and analyze the assessment exercise you carried out based on them.
• Give your explanatory opinion as to why such effects occur. You must include the following in your presentation:
• Conceptual arguments for the effects on prices of scenario movements.
• You must present an initial argument.