nag_pde_dim1_blackscholes_means (d03nec) 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 | 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
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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 | -8.9082e-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
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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 | 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
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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 | 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
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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 | 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
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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 | 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