Tue Nov 18 17:13:05 2008
EXSAN v3.18.L - [EMAIL="exsan.software@gmail.com"]exsan.software@gmail.com[/EMAIL]
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d Merton Equations
sigma_e ---> 0.15 r ---> 0.25
E European call option ---> 100 F strike K---> 101 T ---> 4
[B](V) asset price S = 137.16 (sigma_v) asset volatility sigma = 0.10936[/B]
Verify using The Black-Scholes European call option formula
Input data values: s -> 137.16 k --> 101 stdev --> 0.10936 r --> 0.25 tao --> 4
d1 = 6.0802 d2 = 5.8615
Black-Scholes, European call option value ----> 100
N(d1) = 1 sigma_e' = 0.11046 confidence / error sigma_e' = -26.361%
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d Merton Equations
Solving Merton Equations, attached pdf
"...All values are known, except V and sigma_v ...
sigma_e ---> 0.15 r ---> 0.15
E European call option ---> 100 F strike K---> 101 T ---> 4
[B](V) asset price S = 155.43 (sigma_v) asset volatility sigma = 0.096506[/B]
Verify using The Black-Scholes European call option formula
Input data values: s -> 155.43 k --> 101 stdev --> 0.096506 r --> 0.15 tao --> 4
d1 = 5.4385 d2 = 5.2455
Black-Scholes, European call option value ----> 100
N(d1) = 1 sigma_e' = 0.097472 confidence / error sigma_e' = -35.019%
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d Merton Equations
Solving Merton Equations, attached pdf
"...All values are known, except V and sigma_v ...
sigma_e ---> 0.15 r ---> 0.1
E European call option ---> 100 F strike K---> 101 T ---> 4
[B](V) asset price S = 167.7 (sigma_v) asset volatility sigma = 0.089444[/B]
Verify using The Black-Scholes European call option formula
Input data values: s -> 167.7 k --> 101 stdev --> 0.089444 r --> 0.1 tao --> 4
d1 = 5.16 d2 = 4.9811
Black-Scholes, European call option value ----> 100
N(d1) = 1 sigma_e' = 0.090339 confidence / error sigma_e' = -39.774%
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EXSAN v3.18.L - [EMAIL="exsan.software@gmail.com"]exsan.software@gmail.com[/EMAIL]
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