CALC

EUROPEAN OPTION PRICING FOR EQUITIES WITH DIVIDENDS (discrete/continuous yield/futures)

DESCRIPTION DIVIDENDS
Spot Price 3,483.00 Ex Date Cash Amount
Strike 3,700.00 31-Mar-09 5.00
Current date 3-May-09
Maturity date 28-May-09
Interest Rate (NACA) 8.00%
Volatility 45.60%
Dividend Yield (NACA) 0.00%
Time till Expiry 0.0685

OPTION VALUE DELTA GAMMA THETA

European Call (BS) 83.3741 0.325799 0.000864 (10.833722)
European Put (BS) 299.2333 -0.668944 0.000864 (10.667595)

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 CALC

continuous yield/futures)

RHO
0.720126
-1.800797

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USER NOTES on Excel SETUP

Excel 2002/XP/2003

Some of the calculators used in this workbook are written in VBA

Before any calculation can be undertaken, the following needs to be done
Step 1: Add-Ins
Add-in programs are small modules that extend Excel's power by giving you access to an array of features and calc
To access the required Add-Ins, open Excel. Click on the menu item Tools. In the drop down menu, click on
Ensure that there are ticks in front of the following add-ins as shown
Ø      Analysis Toolpak
Ø      Analysis Toolpak – VBA
Ø      Conditional Sum Wizard
Ø      Lookup Wizard
Ø      Solver Add-In
Click OK.

If some of the above add-ins are not available, it might be that you only operate off a partial MSOffice installation.
Either do a full installation or contact your IT department to upgrade your installation to a full MSOffice installation.
You might be prompted to insert the MSOfffice CD. Do this or contact your IT department.

Step 2: Security
Open Excel. Click on the menu item Tools. In the drop down menu, move your curser to Macro. This brings up a su
Click on Security…
This brings up the Security dialog box. Click on the Security Level tab.
Ensure that Medium is selected.
Click OK

Excel pricing software developed by

Financial Chaos Theory
http://www.quantonline.co.za
array of features and calculating functions not otherwise offered in Excel.
wn menu, click on Add-Ins. This brings up the Add-Ins dialog box.

al MSOffice installation.
ull MSOffice installation.

acro. This brings up a sub-menu.