| |
|
Hull 15.14 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Yellow = Inputs |
|
|
Greeks |
|
|
| |
1 |
Stock (S) |
$0.80 |
|
d1 |
0.1016 |
|
| |
2 |
Strike (K) |
$0.81 |
|
N(d1) |
0.5405 |
|
| |
3 |
Volatity |
15.0% |
|
d2 |
(0.0130) |
|
| |
|
Variance |
2.25% |
|
N(d2) |
0.4948 |
|
| |
4 |
Riskfree rate (r) |
8.00% |
|
Black-Scholes |
0.0374 |
|
| |
5 |
Term (T) |
0.5833 |
|
N'(d1) |
0.3969 |
|
| |
6 |
Japan's risk free rate (rf) |
5.00% |
|
Delta |
0.5249 |
|
| |
|
|
|
|
Theta |
(0.0399) |
|
| |
|
|
|
|
Vega |
0.2355 |
|
| |
|
|
|
|
Rho |
0.2231 |
|
| |
|
|
|
|
Gamma |
4.2059 |
|
| |
|
|
|
|
|
|
|
|