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    Others 1680514411205

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    Techboy Rahul
    The document contains information about call and put option pricing for different asset prices. It shows the payoff for a call option buyer and seller as the underlying asset price varies. It also shows put-call parity is maintained as the total payoff across corresponding call and put options is zero. Finally, it contains examples of pricing European call and put options using the Black-Scholes formula.

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    © All Rights Reserved
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    Others 1680514411205

    Uploaded by

    Techboy Rahul
    23 views17 pages
    The document contains information about call and put option pricing for different asset prices. It shows the payoff for a call option buyer and seller as the underlying asset price varies. It also shows put-call parity is maintained as the total payoff across corresponding call and put options is zero. Finally, it contains examples of pricing European call and put options using the Black-Scholes formula.

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    The document contains information about call and put option pricing for different asset prices. It shows the payoff for a call option buyer and seller as the underlying asset price varies. It also shows put-call parity is maintained as the total payoff across corresponding call and put options is zero. Finally, it contains examples of pricing European call and put options using the Black-Scholes formula.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    23 views17 pages

    Others 1680514411205

    Uploaded by

    Techboy Rahul
    The document contains information about call and put option pricing for different asset prices. It shows the payoff for a call option buyer and seller as the underlying asset price varies. It also shows put-call parity is maintained as the total payoff across corresponding call and put options is zero. Finally, it contains examples of pricing European call and put options using the Black-Scholes formula.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 17

    Assumptions CALL OPTION - BUYER'S POSI

    Premium 3
    Strike Price 50

    Asset Prices Exercise Option Terminal Payoff Net Profit / (Loss)


    40 No 0 -3
    41 No 0 -3
    42 No 0 -3
    43 No 0 -3
    44 No 0 -3
    45 No 0 -3
    46 No 0 -3
    47 No 0 -3
    48 No 0 -3
    49 No 0 -3
    50 No 0 -3
    51 Yes 1 -2
    52 Yes 2 -1
    53 Yes 3 0
    54 Yes 4 1
    55 Yes 5 2
    56 Yes 6 3
    57 Yes 7 4
    58 Yes 8 5
    59 Yes 9 6
    60 Yes 10 7

    12

    10

    6
    Terminal Payoff
    4 Net Profit / Loss

    0
    40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
    -2
    Terminal Payoff
    4 Net Profit / Loss

    0
    40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
    -2

    -4
    ION - BUYER'S POSITION

    Terminal Payoff
    Net Profit / Loss

    0
    Terminal Payoff
    Net Profit / Loss

    0
    Asset Price Terminal Payoff Net Profit / Loss
    40 0 -3
    41 0 -3
    42 0 -3
    43 0 -3
    44 0 -3
    45 0 -3
    46 0 -3
    47 0 -3
    48 0 -3
    49 0 -3
    50 0 -3
    51 1 -2
    52 2 -1
    53 3 0
    54 4 1
    55 5 2
    56 6 3
    57 7 4
    58 8 5
    59 9 6
    60 10 7
    Assumptions CALL OPTION - SELLERS
    Premium 3
    Strike Price 50

    Asset Prices Option Exercised Net Payoff


    40 NO 3
    41 NO 3
    42 NO 3
    43 NO 3
    44 NO 3
    45 NO 3
    46 NO 3
    47 NO 3
    48 NO 3
    49 NO 3
    50 NO 3
    51 YES 2
    52 YES 1
    53 YES 0
    54 YES -1
    55 YES -2
    56 YES -3
    57 YES -4
    58 YES -5
    59 YES -6
    60 YES -7

    Net Payoff
    4

    0
    40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60
    -2 Net Payoff

    -4

    -6

    -8
    Asset Price Net Payoff
    40 3
    41 3
    42 3
    43 3
    44 3
    45 3
    46 3
    47 3
    48 3
    49 3
    50 3
    51 2
    52 1
    53 0
    54 -1
    55 -2
    56 -3
    57 -4
    58 -5
    59 -6
    60 -7
    PUT-CALL PARITY

    Asset Price Net Profit to Holder Net Profit to Writer Total Pay-Off
    40 -3 3 0
    41 -3 3 0
    42 -3 3 0
    43 -3 3 0
    44 -3 3 0
    45 -3 3 0
    46 -3 3 0
    47 -3 3 0
    48 -3 3 0
    49 -3 3 0
    50 -3 3 0
    51 -2 2 0
    52 -1 1 0
    53 0 0 0
    54 1 -1 0
    55 2 -2 0
    56 3 -3 0
    57 4 -4 0
    58 5 -5 0
    59 6 -6 0
    60 7 -7 0

    2 Net Profit to Holder

    0 Net Profit to Writer


    40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 Total Pay-Off
    -2

    -4

    -6

    -8
    -2

    -4

    -6

    -8
    to Holder
    to Writer
    Off
    S Spot Price of Stock 90 e 2.718282
    X Strike Price of Option 80
    r Annual Risk-Free Rate of Return 0.08
    t Time (Years) to expiry of Option 0.5
    s Annual Volatility 0.23
    -r.t -0.04

    ln(S/X) 0.1178
    (r + s2/2) 0.1065
    sÖt 0.1626
    d1 1.0515
    d2 0.8889

    N(d1) 0.8535
    N(d2) 0.8130

    C = S.N(d1) – X.e-rt.N(d2) 14.3268


    S Spot Price of Stock 90 e
    X Strike Price of Option 80
    r Annual Risk-Free Rate of Return 0.08
    t Time (Years) to expiry of Option 0.5
    s Annual Volatility 0.23
    -r.t -0.04

    ln(S/X) 0.1178
    (r + s2/2) 0.1065
    sÖt 0.1626
    d1 1.0515
    d2 0.8889

    N(-d1) = 1 – N(d1) 0.1465


    N(-d2)= 1–N(d2) 0.1870

    P = X.e-rt.N(-d2) - S.N(-d1) 1.1900


    2.718282
    S Spot NIFTY 4500 e
    X Strike NIFTY 4600
    q Continuously Compounded Div Yield 0.03
    r Annual Risk-Free Rate of Return 0.08
    t Time (Years) to expiry of Option 0.25
    s Annual Volatility 0.25
    -r.t -0.02
    -q.t -0.008
    ln(S/X) -0.0220
    (r - q + s2/2) 0.0813
    sÖt 0.1250
    d1 -0.0133
    d2 -0.1383

    N(d1) 0.4947
    N(d2) 0.4450

    C = S.e-q.t.N(d1) (–) X.e-rt.N(d2) 203.02


    2.718282
    e 2.718282
    r 0.08
    t 0.25
    u 0.2
    d 0.2
    rt 0.02
    -rt -0.02

    p 0.5505
    1-p 0.4495

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