Example description

nag_pde_dim1_blackscholes_means (d03nec) Example Program Results


Option Values
-------------
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |     3.3671e-13    7.7404e-14    7.3210e-15    2.0179e-16
    1.0000e+01  |     5.2088e-07    2.4281e-07    7.2216e-08    1.1540e-08
    1.5000e+01  |     2.6607e-04    1.6753e-04    8.0943e-05    2.7179e-05
    2.0000e+01  |     8.9697e-03    6.6505e-03    4.1780e-03    2.0942e-03
    2.5000e+01  |     8.3647e-02    6.8467e-02    5.0375e-02    3.2105e-02
    3.0000e+01  |     3.8221e-01    3.3331e-01    2.7117e-01    2.0119e-01
    3.5000e+01  |     1.1298e+00    1.0275e+00    8.9292e-01    7.3146e-01
    4.0000e+01  |     2.5164e+00    2.3541e+00    2.1380e+00    1.8699e+00
    4.5000e+01  |     4.6249e+00    4.4110e+00    4.1267e+00    3.7700e+00
    5.0000e+01  |     7.4287e+00    7.1797e+00    6.8531e+00    6.4449e+00
    5.5000e+01  |     1.0830e+01    1.0564e+01    1.0221e+01    9.7996e+00
    6.0000e+01  |     1.4707e+01    1.4436e+01    1.4097e+01    1.3689e+01
    6.5000e+01  |     1.8937e+01    1.8671e+01    1.8348e+01    1.7968e+01
    7.0000e+01  |     2.3421e+01    2.3164e+01    2.2860e+01    2.2514e+01
    7.5000e+01  |     2.8080e+01    2.7833e+01    2.7550e+01    2.7234e+01
    8.0000e+01  |     3.2857e+01    3.2620e+01    3.2354e+01    3.2064e+01
    8.5000e+01  |     3.7713e+01    3.7484e+01    3.7233e+01    3.6963e+01
    9.0000e+01  |     4.2620e+01    4.2398e+01    4.2158e+01    4.1904e+01
    9.5000e+01  |     4.7561e+01    4.7344e+01    4.7112e+01    4.6868e+01
    1.0000e+02  |     5.2523e+01    5.2310e+01    5.2084e+01    5.1848e+01

Theta
-----
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |    -8.9082e-12   -3.4507e-12   -5.0884e-13   -2.1236e-14
    1.0000e+01  |    -7.2097e-06   -5.5915e-06   -2.5721e-06   -6.1830e-07
    1.5000e+01  |    -2.2499e-03   -2.3259e-03   -1.7227e-03   -8.6349e-04
    2.0000e+01  |    -4.9483e-02   -5.9355e-02   -5.6562e-02   -4.1921e-02
    2.5000e+01  |    -3.1200e-01   -4.0620e-01   -4.4765e-01   -4.1683e-01
    3.0000e+01  |    -9.8578e-01   -1.3408e+00   -1.6092e+00   -1.7186e+00
    3.5000e+01  |    -2.0479e+00   -2.8395e+00   -3.5745e+00   -4.1390e+00
    4.0000e+01  |    -3.2501e+00   -4.5165e+00   -5.8147e+00   -7.0323e+00
    4.5000e+01  |    -4.3144e+00   -5.9349e+00   -7.6762e+00   -9.4488e+00
    5.0000e+01  |    -5.0802e+00   -6.8543e+00   -8.7919e+00   -1.0815e+01
    5.5000e+01  |    -5.5225e+00   -7.2603e+00   -9.1500e+00   -1.1104e+01
    6.0000e+01  |    -5.7006e+00   -7.2722e+00   -8.9491e+00   -1.0625e+01
    6.5000e+01  |    -5.7014e+00   -7.0446e+00   -8.4366e+00   -9.7565e+00
    7.0000e+01  |    -5.6037e+00   -6.7093e+00   -7.8142e+00   -8.7951e+00
    7.5000e+01  |    -5.4653e+00   -6.3555e+00   -7.2107e+00   -7.9170e+00
    8.0000e+01  |    -5.3218e+00   -6.0329e+00   -6.6903e+00   -7.1974e+00
    8.5000e+01  |    -5.1920e+00   -5.7627e+00   -6.2736e+00   -6.6481e+00
    9.0000e+01  |    -5.0833e+00   -5.5487e+00   -5.9563e+00   -6.2492e+00
    9.5000e+01  |    -4.9969e+00   -5.3857e+00   -5.7234e+00   -5.9700e+00
    1.0000e+02  |    -4.9306e+00   -5.2651e+00   -5.5570e+00   -5.7797e+00

Delta
-----
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |     1.6086e-12    3.8832e-13    3.9572e-14    1.2111e-15
    1.0000e+01  |     8.9933e-07    4.3972e-07    1.4063e-07    2.4884e-08
    1.5000e+01  |     2.3975e-04    1.5810e-04    8.1943e-05    3.0366e-05
    2.0000e+01  |     4.9150e-03    3.8095e-03    2.5596e-03    1.4100e-03
    2.5000e+01  |     3.0345e-02    2.5906e-02    2.0311e-02    1.4153e-02
    3.0000e+01  |     9.6991e-02    8.7980e-02    7.5946e-02    6.1231e-02
    3.5000e+01  |     2.0863e-01    1.9675e-01    1.8053e-01    1.5957e-01
    4.0000e+01  |     3.4875e-01    3.3719e-01    3.2158e-01    3.0109e-01
    4.5000e+01  |     4.9361e-01    4.8480e-01    4.7356e-01    4.5924e-01
    5.0000e+01  |     6.2450e-01    6.1931e-01    6.1363e-01    6.0735e-01
    5.5000e+01  |     7.3200e-01    7.3000e-01    7.2907e-01    7.2954e-01
    6.0000e+01  |     8.1439e-01    8.1462e-01    8.1681e-01    8.2145e-01
    6.5000e+01  |     8.7440e-01    8.7589e-01    8.7961e-01    8.8602e-01
    7.0000e+01  |     9.1650e-01    9.1850e-01    9.2260e-01    9.2911e-01
    7.5000e+01  |     9.4522e-01    9.4726e-01    9.5107e-01    9.5679e-01
    8.0000e+01  |     9.6441e-01    9.6624e-01    9.6946e-01    9.7406e-01
    8.5000e+01  |     9.7704e-01    9.7856e-01    9.8111e-01    9.8461e-01
    9.0000e+01  |     9.8526e-01    9.8646e-01    9.8839e-01    9.9094e-01
    9.5000e+01  |     9.9057e-01    9.9148e-01    9.9290e-01    9.9470e-01
    1.0000e+02  |     9.9397e-01    9.9464e-01    9.9567e-01    9.9691e-01

Gamma
-----
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |     7.2334e-12    1.8390e-12    2.0276e-13    6.9267e-15
    1.0000e+01  |     1.4139e-06    7.2829e-07    2.5205e-07    4.9786e-08
    1.5000e+01  |     1.8932e-04    1.3153e-04    7.3756e-05    3.0494e-05
    2.0000e+01  |     2.2528e-03    1.8392e-03    1.3360e-03    8.2017e-04
    2.5000e+01  |     8.6933e-03    7.8126e-03    6.6135e-03    5.1251e-03
    3.0000e+01  |     1.8099e-02    1.7264e-02    1.6056e-02    1.4350e-02
    3.5000e+01  |     2.5953e-02    2.5691e-02    2.5315e-02    2.4683e-02
    4.0000e+01  |     2.9260e-02    2.9618e-02    3.0194e-02    3.0968e-02
    4.5000e+01  |     2.8046e-02    2.8736e-02    2.9814e-02    3.1368e-02
    5.0000e+01  |     2.4005e-02    2.4715e-02    2.5793e-02    2.7346e-02
    5.5000e+01  |     1.8950e-02    1.9500e-02    2.0296e-02    2.1401e-02
    6.0000e+01  |     1.4105e-02    1.4449e-02    1.4903e-02    1.5476e-02
    6.5000e+01  |     1.0054e-02    1.0221e-02    1.0396e-02    1.0555e-02
    7.0000e+01  |     6.9401e-03    6.9861e-03    6.9806e-03    6.8890e-03
    7.5000e+01  |     4.6779e-03    4.6538e-03    4.5552e-03    4.3505e-03
    8.0000e+01  |     3.0978e-03    3.0414e-03    2.9096e-03    2.6800e-03
    8.5000e+01  |     2.0250e-03    1.9598e-03    1.8291e-03    1.6205e-03
    9.0000e+01  |     1.3114e-03    1.2499e-03    1.1365e-03    9.6637e-04
    9.5000e+01  |     8.4362e-04    7.9138e-04    7.0024e-04    5.7052e-04
    1.0000e+02  |     5.4033e-04    4.9856e-04    4.2893e-04    3.3442e-04

Lambda
------
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |     3.6558e-11    8.6441e-12    8.6672e-13    2.6259e-14
    1.0000e+01  |     2.8583e-05    1.3693e-05    4.3098e-06    7.5495e-07
    1.5000e+01  |     8.6115e-03    5.5645e-03    2.8375e-03    1.0404e-03
    2.0000e+01  |     1.8217e-01    1.3832e-01    9.1376e-02    4.9748e-02
    2.5000e+01  |     1.0984e+00    9.1808e-01    7.0676e-01    4.8574e-01
    3.0000e+01  |     3.2931e+00    2.9214e+00    2.4708e+00    1.9584e+00
    3.5000e+01  |     6.4272e+00    5.9173e+00    5.3025e+00    4.5851e+00
    4.0000e+01  |     9.4643e+00    8.9101e+00    8.2604e+00    7.5135e+00
    4.5000e+01  |     1.1481e+01    1.0941e+01    1.0323e+01    9.6323e+00
    5.0000e+01  |     1.2132e+01    1.1617e+01    1.1026e+01    1.0367e+01
    5.5000e+01  |     1.1588e+01    1.1091e+01    1.0498e+01    9.8169e+00
    6.0000e+01  |     1.0265e+01    9.7801e+00    9.1734e+00    8.4486e+00
    6.5000e+01  |     8.5872e+00    8.1198e+00    7.5104e+00    6.7621e+00
    7.0000e+01  |     6.8747e+00    6.4363e+00    5.8487e+00    5.1188e+00
    7.5000e+01  |     5.3194e+00    4.9219e+00    4.3812e+00    3.7109e+00
    8.0000e+01  |     4.0081e+00    3.6599e+00    3.1840e+00    2.6009e+00
    8.5000e+01  |     2.9578e+00    2.6623e+00    2.2597e+00    1.7754e+00
    9.0000e+01  |     2.1474e+00    1.9036e+00    1.5741e+00    1.1870e+00
    9.5000e+01  |     1.5392e+00    1.3429e+00    1.0806e+00    7.8078e-01
    1.0000e+02  |     1.0923e+00    9.3740e-01    7.3341e-01    5.0711e-01

Rho
---
   Stock Price  |  Time to Maturity (months)
                |     5.0000e+00    4.5000e+00    4.0000e+00    3.5000e+00
--------------------------------------------------------------------------
    0.0000e+00  |     0.0000e+00    0.0000e+00    0.0000e+00    0.0000e+00
    5.0000e+00  |     3.2110e-12    6.9908e-13    6.3513e-14    1.7073e-15
    1.0000e+01  |     3.5302e-06    1.5579e-06    4.4470e-07    6.9214e-08
    1.5000e+01  |     1.3876e-03    8.2648e-04    3.8273e-04    1.2492e-04
    2.0000e+01  |     3.7221e-02    2.6077e-02    1.5671e-02    7.6142e-03
    2.5000e+01  |     2.8124e-01    2.1719e-01    1.5247e-01    9.3836e-02
    3.0000e+01  |     1.0531e+00    8.6478e-01    6.6907e-01    4.7709e-01
    3.5000e+01  |     2.5718e+00    2.1971e+00    1.8086e+00    1.4156e+00
    4.0000e+01  |     4.7641e+00    4.1750e+00    3.5750e+00    2.9673e+00
    4.5000e+01  |     7.3281e+00    6.5270e+00    5.7279e+00    4.9280e+00
    5.0000e+01  |     9.9152e+00    8.9196e+00    7.9427e+00    6.9774e+00
    5.5000e+01  |     1.2262e+01    1.1095e+01    9.9592e+00    8.8448e+00
    6.0000e+01  |     1.4232e+01    1.2915e+01    1.1637e+01    1.0383e+01
    6.5000e+01  |     1.5791e+01    1.4348e+01    1.2942e+01    1.1557e+01
    7.0000e+01  |     1.6973e+01    1.5424e+01    1.3907e+01    1.2403e+01
    7.5000e+01  |     1.7838e+01    1.6204e+01    1.4594e+01    1.2987e+01
    8.0000e+01  |     1.8457e+01    1.6755e+01    1.5067e+01    1.3376e+01
    8.5000e+01  |     1.8890e+01    1.7135e+01    1.5387e+01    1.3629e+01
    9.0000e+01  |     1.9189e+01    1.7393e+01    1.5599e+01    1.3790e+01
    9.5000e+01  |     1.9393e+01    1.7567e+01    1.5738e+01    1.3891e+01
    1.0000e+02  |     1.9531e+01    1.7683e+01    1.5827e+01    1.3954e+01