| |
Chooser Option |
|
|
|
| |
|
|
|
|
| |
|
|
|
|
| |
Black-Scholes Inputs |
|
|
|
| 1 |
Stock (S) |
$10.00 |
$10.00 |
|
| 2 |
Strike (K) |
$10.00 |
$9.80 |
|
| 3 |
Volatity |
20.0% |
20.0% |
|
| |
Variance |
4.00% |
4.00% |
|
| 4 |
Riskfree rate (r) |
4.00% |
4.00% |
|
| 5 |
Term (T2) |
1.00 |
1.00 |
|
| |
Term (T1) |
0.50 |
0.20 |
|
| |
T2-T1 |
0.50 |
0.50 |
|
| 6 |
Div Yield |
0.00% |
0.00% |
|
| |
|
|
|
|
| |
Call option |
|
|
|
| |
d1 |
0.3000 |
0.3578 |
|
| |
N(d1) |
0.6179 |
0.6397 |
|
| |
d2 |
0.1000 |
0.2683 |
|
| |
N(d2) |
0.5398 |
0.6058 |
|
| |
Call Price |
$0.993 |
$0.692 |
|
| |
|
|
|
|
| |
Put option |
|
|
|
| |
-d1 |
-0.3000 |
-0.3578 |
|
| |
N(-d1) |
0.3821 |
0.3603 |
|
| |
-d2 |
-0.1000 |
-0.2683 |
|
| |
N(-d2) |
0.4602 |
0.3942 |
|
| |
Put Price |
$0.600 |
$0.231 |
|
| |
|
|
|
|
| |
Chooser Option |
|
$1.223 |
|
| |
|
|
|
|
|