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    Implied Volatility of A European Option: Parameters Call Put Value Delta Gamma Vega Theta

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    Keerthy Veeran
    This document provides the parameters and calculations for the implied volatility of a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the calculated option values, Greeks, and intermediate calculations for d1, d2, nd1, nd2, and n_dash_d1.

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    Implied Volatility of A European Option: Parameters Call Put Value Delta Gamma Vega Theta

    Uploaded by

    Keerthy Veeran
    29 views2 pages
    This document provides the parameters and calculations for the implied volatility of a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the calculated option values, Greeks, and intermediate calculations for d1, d2, nd1, nd2, and n_dash_d1.

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    Implied Volatility

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    This document provides the parameters and calculations for the implied volatility of a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the calculated option values, Greeks, and intermediate calculations for d1, d2, nd1, nd2, and n_dash_d1.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    29 views2 pages

    Implied Volatility of A European Option: Parameters Call Put Value Delta Gamma Vega Theta

    Uploaded by

    Keerthy Veeran
    This document provides the parameters and calculations for the implied volatility of a European call and put option. It lists the spot price, strike price, risk-free rate, volatility, dividend yield, and expiry time. It then shows the calculated option values, Greeks, and intermediate calculations for d1, d2, nd1, nd2, and n_dash_d1.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
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    Implied Volatility of a European Option

    http://investexcel.net
    Parameters
    Spot Price
    Strike Price
    Risk-Free Rate
    Volatility
    Dividend Yield
    Expiry Time

    490
    470
    0.033
    0.320943
    0
    0.08

    Value
    Delta
    Gamma
    Vega
    Theta

    Call

    Put

    45
    0.70317
    0.007779
    47.95533
    -106.5736

    10
    -0.2968
    0.00778
    47.9553
    -91.104

    Intermediate Calculations
    d1
    d2
    0.533540353 0.442764

    Calculations
    nd1
    nd2
    n_dash_d1
    0.703170207 0.6710317593 0.34601568

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