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  • Hull White Interest Rate Model

    Încărcat de

    Manav Agarwal
    17 vizualizări2 pagini
    This document provides intermediate calculations for the implied volatility of a European call and put option, including the spot price, strike price, risk-free rate, volatility, dividend yield, expiry time, and the values, delta, gamma, vega, and theta for both the call and put options. It also shows the calculations of d1, d2, and adjusted d1 that are used to derive the Black-Scholes values.

    Descriere originală:

    Excel Application of an Interest Rate model.

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    This document provides intermediate calculations for the implied volatility of a European call and put option, including the spot price, strike price, risk-free rate, volatility, dividend yield, expiry time, and the values, delta, gamma, vega, and theta for both the call and put options. It also shows the calculations of d1, d2, and adjusted d1 that are used to derive the Black-Scholes values.

    Drepturi de autor:

    © All Rights Reserved
    Descărcați ca XLS, PDF, TXT sau citiți online pe Scribd
    Indicator pentru conținut neadecvat
    17 vizualizări2 pagini

    Hull White Interest Rate Model

    Încărcat de

    Manav Agarwal
    This document provides intermediate calculations for the implied volatility of a European call and put option, including the spot price, strike price, risk-free rate, volatility, dividend yield, expiry time, and the values, delta, gamma, vega, and theta for both the call and put options. It also shows the calculations of d1, d2, and adjusted d1 that are used to derive the Black-Scholes values.

    Drepturi de autor:

    © All Rights Reserved
    Descărcați ca XLS, PDF, TXT sau citiți online pe Scribd
    Indicator pentru conținut neadecvat
    din 2

    Implied Volatility of a European Option

    http://investexcel.net
    Intermediate Calculations
    Parameters Call Put d1 d2
    Spot Price 490 Value 29.99999 8.76083 0.533540353 0.442764
    Strike Price 470 Delta 0.70317 -0.2968
    Risk-Free Rate 0.033 Gamma 0.007779 0.00778
    Volatility 0.320943 Vega 47.95533 47.9553
    Dividend Yield 0 Theta -106.5736 -91.104
    Expiry Time 0.08
    Calculations
    nd1 nd2 n_dash_d1
    0.703170207 0.6710317593 0.34601568

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