nag_pde_dim1_blackscholes_fd (d03ncc) 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
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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
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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
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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
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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
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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
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Stock Price | Time to Maturity (months)
| 5.0000e+00 4.5000e+00 4.0000e+00 3.5000e+00
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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