D03NDF Example Program Results
Option Values
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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 | 4.4491E-19 4.5989E-21 1.5461E-23 1.0478E-26
1.0000E+01 | 5.5566E-10 5.5129E-11 3.1298E-12 8.0281E-14
1.5000E+01 | 4.7337E-06 1.2187E-06 2.2774E-07 2.7003E-08
2.0000E+01 | 7.2236E-04 3.1054E-04 1.1005E-04 2.9678E-05
2.5000E+01 | 1.6557E-02 9.6610E-03 5.0099E-03 2.2012E-03
3.0000E+01 | 1.3307E-01 9.4037E-02 6.1869E-02 3.6848E-02
3.5000E+01 | 5.6631E-01 4.5257E-01 3.4667E-01 2.5053E-01
4.0000E+01 | 1.6004E+00 1.3850E+00 1.1699E+00 9.5640E-01
4.5000E+01 | 3.4384E+00 3.1328E+00 2.8168E+00 2.4891E+00
5.0000E+01 | 6.1165E+00 5.7600E+00 5.3874E+00 4.9960E+00
5.5000E+01 | 9.5300E+00 9.1645E+00 8.7846E+00 8.3882E+00
6.0000E+01 | 1.3509E+01 1.3163E+01 1.2808E+01 1.2445E+01
6.5000E+01 | 1.7883E+01 1.7568E+01 1.7251E+01 1.6932E+01
7.0000E+01 | 2.2513E+01 2.2230E+01 2.1949E+01 2.1671E+01
7.5000E+01 | 2.7301E+01 2.7045E+01 2.6792E+01 2.6544E+01
8.0000E+01 | 3.2182E+01 3.1946E+01 3.1713E+01 3.1485E+01
8.5000E+01 | 3.7117E+01 3.6894E+01 3.6674E+01 3.6458E+01
9.0000E+01 | 4.2081E+01 4.1868E+01 4.1656E+01 4.1446E+01
9.5000E+01 | 4.7062E+01 4.6854E+01 4.6647E+01 4.6441E+01
1.0000E+02 | 5.2052E+01 5.1847E+01 5.1643E+01 5.1439E+01
Theta
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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 | -4.4017E-17 -5.5977E-19 -2.3735E-21 -2.0936E-24
1.0000E+01 | -2.7827E-08 -3.3857E-09 -2.4163E-10 -8.0398E-12
1.5000E+01 | -1.3953E-04 -4.3864E-05 -1.0258E-05 -1.5706E-06
2.0000E+01 | -1.3287E-02 -6.9342E-03 -3.0567E-03 -1.0576E-03
2.5000E+01 | -1.9512E-01 -1.3714E-01 -8.7730E-02 -4.9018E-02
3.0000E+01 | -1.0161E+00 -8.5596E-01 -6.8695E-01 -5.1395E-01
3.5000E+01 | -2.8112E+00 -2.6426E+00 -2.4328E+00 -2.1723E+00
4.0000E+01 | -5.1662E+00 -5.1709E+00 -5.1500E+00 -5.0892E+00
4.5000E+01 | -7.2196E+00 -7.4540E+00 -7.7180E+00 -8.0183E+00
5.0000E+01 | -8.3848E+00 -8.7388E+00 -9.1543E+00 -9.6525E+00
5.5000E+01 | -8.6152E+00 -8.9372E+00 -9.3056E+00 -9.7329E+00
6.0000E+01 | -8.2058E+00 -8.4077E+00 -8.6186E+00 -8.8343E+00
6.5000E+01 | -7.5116E+00 -7.5845E+00 -7.6368E+00 -7.6553E+00
7.0000E+01 | -6.7905E+00 -6.7711E+00 -6.7202E+00 -6.6262E+00
7.5000E+01 | -6.1758E+00 -6.1099E+00 -6.0160E+00 -5.8893E+00
8.0000E+01 | -5.7084E+00 -5.6310E+00 -5.5359E+00 -5.4234E+00
8.5000E+01 | -5.3786E+00 -5.3103E+00 -5.2340E+00 -5.1533E+00
9.0000E+01 | -5.1582E+00 -5.1071E+00 -5.0551E+00 -5.0062E+00
9.5000E+01 | -5.0165E+00 -4.9835E+00 -4.9536E+00 -4.9298E+00
1.0000E+02 | -4.9281E+00 -4.9107E+00 -4.8979E+00 -4.8916E+00
Delta
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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 | 3.1381E-18 3.5969E-20 1.3576E-22 1.0494E-25
1.0000E+01 | 1.4005E-09 1.5376E-10 9.7805E-12 2.8553E-13
1.5000E+01 | 6.1418E-06 1.7452E-06 3.6436E-07 4.9030E-08
2.0000E+01 | 5.6040E-04 2.6494E-04 1.0451E-04 3.1863E-05
2.5000E+01 | 8.3312E-03 5.3217E-03 3.0570E-03 1.5104E-03
3.0000E+01 | 4.5711E-02 3.5158E-02 2.5461E-02 1.6934E-02
3.5000E+01 | 1.3765E-01 1.1889E-01 9.9459E-02 7.9557E-02
4.0000E+01 | 2.8307E-01 2.6258E-01 2.3996E-01 2.1479E-01
4.5000E+01 | 4.5320E-01 4.3858E-01 4.2214E-01 4.0335E-01
5.0000E+01 | 6.1427E-01 6.0856E-01 6.0249E-01 5.9601E-01
5.5000E+01 | 7.4525E-01 7.4687E-01 7.4937E-01 7.5308E-01
6.0000E+01 | 8.4052E-01 8.4611E-01 8.5298E-01 8.6148E-01
6.5000E+01 | 9.0433E-01 9.1096E-01 9.1862E-01 9.2752E-01
7.0000E+01 | 9.4449E-01 9.5045E-01 9.5699E-01 9.6412E-01
7.5000E+01 | 9.6862E-01 9.7325E-01 9.7808E-01 9.8300E-01
8.0000E+01 | 9.8260E-01 9.8589E-01 9.8913E-01 9.9221E-01
8.5000E+01 | 9.9050E-01 9.9269E-01 9.9473E-01 9.9653E-01
9.0000E+01 | 9.9487E-01 9.9627E-01 9.9748E-01 9.9848E-01
9.5000E+01 | 9.9725E-01 9.9811E-01 9.9881E-01 9.9935E-01
1.0000E+02 | 9.9854E-01 9.9905E-01 9.9945E-01 9.9972E-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 | 2.1246E-17 2.7112E-19 1.1536E-21 1.0211E-24
1.0000E+01 | 3.3102E-09 4.0468E-10 2.9020E-11 9.7029E-13
1.5000E+01 | 7.2660E-06 2.2982E-06 5.4080E-07 8.3319E-08
2.0000E+01 | 3.8245E-04 2.0111E-04 8.9333E-05 3.1153E-05
2.5000E+01 | 3.5190E-03 2.4960E-03 1.6118E-03 9.0924E-04
3.0000E+01 | 1.2392E-02 1.0554E-02 8.5660E-03 6.4838E-03
3.5000E+01 | 2.4348E-02 2.3181E-02 2.1626E-02 1.9580E-02
4.0000E+01 | 3.2765E-02 3.3274E-02 3.3650E-02 3.3795E-02
4.5000E+01 | 3.4099E-02 3.5763E-02 3.7655E-02 3.9828E-02
5.0000E+01 | 2.9625E-02 3.1360E-02 3.3403E-02 3.5860E-02
5.5000E+01 | 2.2600E-02 2.3743E-02 2.5052E-02 2.6569E-02
6.0000E+01 | 1.5672E-02 1.6137E-02 1.6603E-02 1.7048E-02
6.5000E+01 | 1.0123E-02 1.0119E-02 1.0032E-02 9.8216E-03
7.0000E+01 | 6.1999E-03 5.9720E-03 5.6534E-03 5.2154E-03
7.5000E+01 | 3.6474E-03 3.3666E-03 3.0215E-03 2.6027E-03
8.0000E+01 | 2.0815E-03 1.8329E-03 1.5510E-03 1.2387E-03
8.5000E+01 | 1.1610E-03 9.7196E-04 7.7211E-04 5.6851E-04
9.0000E+01 | 6.3660E-04 5.0529E-04 3.7553E-04 2.5382E-04
9.5000E+01 | 3.4468E-04 2.5884E-04 1.7950E-04 1.1099E-04
1.0000E+02 | 1.8494E-04 1.3118E-04 8.4708E-05 4.7786E-05
Lambda
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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 | 8.8525E-17 1.0167E-18 3.8453E-21 2.9781E-24
1.0000E+01 | 5.5171E-08 6.0702E-09 3.8694E-10 1.1320E-11
1.5000E+01 | 2.7247E-04 7.7565E-05 1.6224E-05 2.1871E-06
2.0000E+01 | 2.5496E-02 1.2066E-02 4.7644E-03 1.4538E-03
2.5000E+01 | 3.6656E-01 2.3400E-01 1.3431E-01 6.6299E-02
3.0000E+01 | 1.8588E+00 1.4248E+00 1.0279E+00 6.8080E-01
3.5000E+01 | 4.9710E+00 4.2595E+00 3.5323E+00 2.7983E+00
4.0000E+01 | 8.7374E+00 7.9857E+00 7.1787E+00 6.3084E+00
4.5000E+01 | 1.1508E+01 1.0863E+01 1.0167E+01 9.4094E+00
5.0000E+01 | 1.2344E+01 1.1760E+01 1.1134E+01 1.0459E+01
5.5000E+01 | 1.1394E+01 1.0773E+01 1.0104E+01 9.3768E+00
6.0000E+01 | 9.4033E+00 8.7137E+00 7.9693E+00 7.1602E+00
6.5000E+01 | 7.1285E+00 6.4127E+00 5.6514E+00 4.8412E+00
7.0000E+01 | 5.0632E+00 4.3894E+00 3.6936E+00 2.9815E+00
7.5000E+01 | 3.4194E+00 2.8406E+00 2.2661E+00 1.7080E+00
8.0000E+01 | 2.2203E+00 1.7596E+00 1.3235E+00 9.2488E-01
8.5000E+01 | 1.3981E+00 1.0534E+00 7.4380E-01 4.7920E-01
9.0000E+01 | 8.5941E-01 6.1393E-01 4.0558E-01 2.3986E-01
9.5000E+01 | 5.1846E-01 3.5040E-01 2.1600E-01 1.1686E-01
1.0000E+02 | 3.0824E-01 1.9677E-01 1.1294E-01 5.5750E-02
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 | 6.3524E-18 6.5717E-20 2.2112E-22 1.4997E-25
1.0000E+01 | 5.6040E-09 5.5594E-10 3.1558E-11 8.0937E-13
1.5000E+01 | 3.6414E-05 9.3595E-06 1.7459E-06 2.0663E-07
2.0000E+01 | 4.3690E-03 1.8706E-03 6.6008E-04 1.7721E-04
2.5000E+01 | 7.9884E-02 4.6268E-02 2.3805E-02 1.0371E-02
3.0000E+01 | 5.1594E-01 3.6026E-01 2.3399E-01 1.3743E-01
3.5000E+01 | 1.7715E+00 1.3907E+00 1.0448E+00 7.3907E-01
4.0000E+01 | 4.0509E+00 3.4193E+00 2.8095E+00 2.2269E+00
4.5000E+01 | 7.0648E+00 6.2263E+00 5.3932E+00 4.5679E+00
5.0000E+01 | 1.0249E+01 9.2505E+00 8.2458E+00 7.2346E+00
5.5000E+01 | 1.3108E+01 1.1967E+01 1.0810E+01 9.6342E+00
6.0000E+01 | 1.5384E+01 1.4101E+01 1.2790E+01 1.1446E+01
6.5000E+01 | 1.7041E+01 1.5617E+01 1.4153E+01 1.2646E+01
7.0000E+01 | 1.8167E+01 1.6613E+01 1.5013E+01 1.3363E+01
7.5000E+01 | 1.8894E+01 1.7231E+01 1.5521E+01 1.3761E+01
8.0000E+01 | 1.9344E+01 1.7597E+01 1.5806E+01 1.3969E+01
8.5000E+01 | 1.9615E+01 1.7807E+01 1.5959E+01 1.4072E+01
9.0000E+01 | 1.9774E+01 1.7924E+01 1.6039E+01 1.4122E+01
9.5000E+01 | 1.9865E+01 1.7987E+01 1.6080E+01 1.4145E+01
1.0000E+02 | 1.9917E+01 1.8022E+01 1.6101E+01 1.4156E+01