D03NEF 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 | 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
-----------------------------------------------------------------
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
-----------------------------------------------------------------
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
-----------------------------------------------------------------
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