D03NCF 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 | 5.0000E+01 5.0000E+01 5.0000E+01 5.0000E+01
5.0000E+00 | 4.5000E+01 4.5000E+01 4.5000E+01 4.5000E+01
1.0000E+01 | 4.0000E+01 4.0000E+01 4.0000E+01 4.0000E+01
1.5000E+01 | 3.5000E+01 3.5000E+01 3.5000E+01 3.5000E+01
2.0000E+01 | 3.0000E+01 3.0000E+01 3.0000E+01 3.0000E+01
2.5000E+01 | 2.5000E+01 2.5000E+01 2.5000E+01 2.5000E+01
3.0000E+01 | 2.0000E+01 2.0000E+01 2.0000E+01 2.0000E+01
3.5000E+01 | 1.5000E+01 1.5000E+01 1.5000E+01 1.5000E+01
4.0000E+01 | 1.0154E+01 1.0096E+01 1.0046E+01 1.0012E+01
4.5000E+01 | 6.5848E+00 6.4424E+00 6.2916E+00 6.1306E+00
5.0000E+01 | 4.0672E+00 3.8785E+00 3.6729E+00 3.4463E+00
5.5000E+01 | 2.4264E+00 2.2423E+00 2.0454E+00 1.8336E+00
6.0000E+01 | 1.4174E+00 1.2662E+00 1.1096E+00 9.4813E-01
6.5000E+01 | 8.1951E-01 7.0724E-01 5.9532E-01 4.8515E-01
7.0000E+01 | 4.7241E-01 3.9411E-01 3.1904E-01 2.4845E-01
7.5000E+01 | 2.7257E-01 2.2016E-01 1.7174E-01 1.2815E-01
8.0000E+01 | 1.5725E-01 1.2328E-01 9.2935E-02 6.6682E-02
8.5000E+01 | 8.9662E-02 6.8478E-02 5.0100E-02 3.4731E-02
9.0000E+01 | 4.8449E-02 3.6251E-02 2.5901E-02 1.7469E-02
9.5000E+01 | 2.1100E-02 1.5584E-02 1.0968E-02 7.2680E-03
1.0000E+02 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
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 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
4.0000E+01 | -1.4043E+00 -1.1857E+00 -8.3285E-01 -2.8064E-01
4.5000E+01 | -3.4185E+00 -3.6183E+00 -3.8646E+00 -4.1880E+00
5.0000E+01 | -4.5285E+00 -4.9339E+00 -5.4387E+00 -6.0796E+00
5.5000E+01 | -4.4165E+00 -4.7277E+00 -5.0821E+00 -5.4821E+00
6.0000E+01 | -3.6294E+00 -3.7585E+00 -3.8748E+00 -3.9632E+00
6.5000E+01 | -2.6946E+00 -2.6860E+00 -2.6441E+00 -2.5561E+00
7.0000E+01 | -1.8790E+00 -1.8018E+00 -1.6941E+00 -1.5505E+00
7.5000E+01 | -1.2578E+00 -1.1621E+00 -1.0461E+00 -9.0969E-01
8.0000E+01 | -8.1539E-01 -7.2821E-01 -6.3006E-01 -5.2314E-01
8.5000E+01 | -5.0841E-01 -4.4106E-01 -3.6887E-01 -2.9433E-01
9.0000E+01 | -2.9276E-01 -2.4840E-01 -2.0237E-01 -1.5656E-01
9.5000E+01 | -1.3237E-01 -1.1079E-01 -8.8802E-02 -6.7378E-02
1.0000E+02 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+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 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
5.0000E+00 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
1.0000E+01 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
1.5000E+01 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
2.0000E+01 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
2.5000E+01 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
3.0000E+01 | -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
3.5000E+01 | -9.8457E-01 -9.9042E-01 -9.9536E-01 -9.9883E-01
4.0000E+01 | -8.4152E-01 -8.5576E-01 -8.7084E-01 -8.8694E-01
4.5000E+01 | -6.0871E-01 -6.2173E-01 -6.3735E-01 -6.5654E-01
5.0000E+01 | -4.1584E-01 -4.2000E-01 -4.2463E-01 -4.2970E-01
5.5000E+01 | -2.6498E-01 -2.6123E-01 -2.5633E-01 -2.4982E-01
6.0000E+01 | -1.6069E-01 -1.5351E-01 -1.4500E-01 -1.3485E-01
6.5000E+01 | -9.4501E-02 -8.7208E-02 -7.9055E-02 -6.9969E-02
7.0000E+01 | -5.4694E-02 -4.8708E-02 -4.2358E-02 -3.5699E-02
7.5000E+01 | -3.1515E-02 -2.7084E-02 -2.2610E-02 -1.8177E-02
8.0000E+01 | -1.8291E-02 -1.5168E-02 -1.2164E-02 -9.3423E-03
8.5000E+01 | -1.0880E-02 -8.7026E-03 -6.7034E-03 -4.9214E-03
9.0000E+01 | -6.8562E-03 -5.2894E-03 -3.9132E-03 -2.7463E-03
9.5000E+01 | -4.8449E-03 -3.6251E-03 -2.5901E-03 -1.7469E-03
1.0000E+02 | -4.2199E-03 -3.1168E-03 -2.1936E-03 -1.4536E-03
Gamma
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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 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.5000E+01 | 6.1726E-03 3.8321E-03 1.8558E-03 4.6773E-04
4.0000E+01 | 5.1047E-02 5.0031E-02 4.7953E-02 4.4288E-02
4.5000E+01 | 4.2075E-02 4.3582E-02 4.5444E-02 4.7873E-02
5.0000E+01 | 3.5072E-02 3.7109E-02 3.9646E-02 4.2863E-02
5.5000E+01 | 2.5275E-02 2.6400E-02 2.7671E-02 2.9089E-02
6.0000E+01 | 1.6442E-02 1.6688E-02 1.6860E-02 1.6900E-02
6.5000E+01 | 1.0032E-02 9.8331E-03 9.5193E-03 9.0515E-03
7.0000E+01 | 5.8907E-03 5.5669E-03 5.1595E-03 4.6562E-03
7.5000E+01 | 3.3809E-03 3.0827E-03 2.7396E-03 2.3529E-03
8.0000E+01 | 1.9091E-03 1.6834E-03 1.4388E-03 1.1808E-03
8.5000E+01 | 1.0551E-03 9.0291E-04 7.4543E-04 5.8760E-04
9.0000E+01 | 5.5449E-04 4.6239E-04 3.7065E-04 2.8244E-04
9.5000E+01 | 2.5001E-04 2.0330E-04 1.5859E-04 1.1731E-04
1.0000E+02 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
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 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
4.0000E+01 | 6.3243E+00 5.1893E+00 3.8089E+00 2.1118E+00
4.5000E+01 | 1.0721E+01 9.9718E+00 9.2140E+00 8.4953E+00
5.0000E+01 | 1.2381E+01 1.1807E+01 1.1228E+01 1.0636E+01
5.5000E+01 | 1.1483E+01 1.0837E+01 1.0142E+01 9.3795E+00
6.0000E+01 | 9.3227E+00 8.5840E+00 7.7870E+00 6.9211E+00
6.5000E+01 | 6.9621E+00 6.2206E+00 5.4412E+00 4.6264E+00
7.0000E+01 | 4.9268E+00 4.2651E+00 3.5937E+00 2.9227E+00
7.5000E+01 | 3.3602E+00 2.8204E+00 2.2920E+00 1.7866E+00
8.0000E+01 | 2.2221E+00 1.8126E+00 1.4248E+00 1.0683E+00
8.5000E+01 | 1.4122E+00 1.1240E+00 8.5856E-01 6.2248E-01
9.0000E+01 | 8.2686E-01 6.4587E-01 4.8252E-01 3.4083E-01
9.5000E+01 | 3.7891E-01 2.9252E-01 2.1553E-01 1.4976E-01
1.0000E+02 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
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 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
1.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
2.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.0000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
3.5000E+01 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00
4.0000E+01 | -7.1918E+00 -6.0114E+00 -4.5204E+00 -2.5855E+00
4.5000E+01 | -8.4541E+00 -7.6378E+00 -6.8479E+00 -6.1657E+00
5.0000E+01 | -7.5988E+00 -6.9323E+00 -6.2879E+00 -5.6707E+00
5.5000E+01 | -5.8905E+00 -5.2837E+00 -4.6809E+00 -4.0772E+00
6.0000E+01 | -4.1854E+00 -3.6547E+00 -3.1306E+00 -2.6135E+00
6.5000E+01 | -2.8221E+00 -2.3904E+00 -1.9743E+00 -1.5775E+00
7.0000E+01 | -1.8437E+00 -1.5137E+00 -1.2055E+00 -9.2283E-01
7.5000E+01 | -1.1812E+00 -9.4071E-01 -7.2326E-01 -5.3162E-01
8.0000E+01 | -7.4513E-01 -5.7680E-01 -4.2921E-01 -3.0383E-01
8.5000E+01 | -4.5907E-01 -3.4659E-01 -2.5060E-01 -1.7161E-01
9.0000E+01 | -2.6550E-01 -1.9656E-01 -1.3892E-01 -9.2652E-02
9.5000E+01 | -1.2280E-01 -8.9807E-02 -6.2569E-02 -4.1033E-02
1.0000E+02 | 0.0000E+00 0.0000E+00 0.0000E+00 0.0000E+00