Derivatives_Models.xlsx
5
Days today mon tue wed thurs fri strike 5100 closing value/premium 5346.488 246.4881248587 5293.553 5241.141 5240.617 140.6170728813 5189.249 5188.73 5137.87 5137.356 5136.842 36.8424773787 5087 5086.491 5085.983 5036.13 5035.626 5035.123 0 4985.769 4985.27 4935.911 4935.417 0 4886.552 4837.686 0 0.03125 0.0625 0.125 0.15625 0.25 0.25 0.5 0.375 0.3125 1 0.5 0.375 0.5 0.375 0.3125 0.25 0.25 0.125 0.15625 0.0625 0.03125
-
Upload
dragonborn1712 -
Category
Documents
-
view
215 -
download
0
description
Various Models used for Pricing Derivatives
Transcript of Derivatives_Models.xlsx
Binomial TreeDaystodaymontuewedthursfriBINOMIAL TREE MODEL
strike5100closingvalue/premiumprobabilitypremium at the end of 5 dayspresent value of premium41.187445720441.08949702535346.4881248587246.48812485870.031257.70275390185293.552598875241.1411875240.6170728813140.61707288130.1562521.97141763775189.24875188.729775135137.875137.3562135136.842477378736.84247737870.312511.513274180850875086.49135085.982650875036.135035.6263875035.122824361300.312504985.76874985.270123134935.9110134935.417421898700.1562504886.551902874837.686383841300.0312500.031250.06250.1250.156250.250.250.50.3750.312510.50.3750.50.3750.31250.250.250.1250.156250.06250.03125
Black Scholess5087Black Scholesk5200ir10%sigma21.920%
Omkar: assumption
t0.03515625d1=-0.42847d2=-0.46957
Nd1=0.33415Nd2=0.31933
call=45.15
Sheet3
