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    Option Pricing Model March 2021

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    Mohamed
    This document contains the inputs and outputs for pricing a currency option using the Black-Scholes model. It provides the spot date, forward date, spot rate, interest rates, forward rate, strike price, time to expiry, and volatility. It then displays the model outputs including the d1 and d2 values, option prices, premiums, point values, break evens, Greeks including delta, gamma, and vega, and year fraction.

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    Option Pricing Model March 2021

    Uploaded by

    Mohamed
    5 views1 page
    This document contains the inputs and outputs for pricing a currency option using the Black-Scholes model. It provides the spot date, forward date, spot rate, interest rates, forward rate, strike price, time to expiry, and volatility. It then displays the model outputs including the d1 and d2 values, option prices, premiums, point values, break evens, Greeks including delta, gamma, and vega, and year fraction.

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    This document contains the inputs and outputs for pricing a currency option using the Black-Scholes model. It provides the spot date, forward date, spot rate, interest rates, forward rate, strike price, time to expiry, and volatility. It then displays the model outputs including the d1 and d2 values, option prices, premiums, point values, break evens, Greeks including delta, gamma, and vega, and year fraction.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    5 views1 page

    Option Pricing Model March 2021

    Uploaded by

    Mohamed
    This document contains the inputs and outputs for pricing a currency option using the Black-Scholes model. It provides the spot date, forward date, spot rate, interest rates, forward rate, strike price, time to expiry, and volatility. It then displays the model outputs including the d1 and d2 values, option prices, premiums, point values, break evens, Greeks including delta, gamma, and vega, and year fraction.

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    © All Rights Reserved
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    Currency options pricing - Black and Scholes

    Spot date 10-Jun-21


    Forward date 10-Sep-21
    Spot 14.5 DAY BASE
    Terms Int Rate 6.00% ZAR 365
    Base Int rate 1.00% USD 360
    Forward rate 14.6818
    Forward points 1818

    At the money strike 14.6818


    Days to expiry 92
    Expiry of Option 10-Sep-21
    Strike 14.6818
    Volatility 10.00%

    d1 0.0251
    d2 -0.0251
    Call 0.2940
    Put 0.2940
    PCT Call 2.00%
    PCT Put 2.00%
    Option value $1,000,000.00
    Call Premium $20,025.74
    Put Premium $20,027.94
    call point value 2,904
    put point value 2,904
    Break even call 14.9722
    Break even put 14.3914
    Delta Call 0.50999587747
    Deltta Put 0.49000412253
    Gamma 0.54140291886
    Vega 0.02941522984
    Yearfrac 0.25205479452

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