S 50

X 50
r 10.00%
T 0.5
Sigma 25%

#VALUE! BSOne <-- (LN(S/X)+(r+0.5*sigma^2)*T)/(sigma*SQRT(T))

#VALUE! BSTwo <-- d1-sigma*SQRT(T)
#VALUE! NBSOne <-- Uses formula NormSDist(d1)
#VALUE! NBSTwo <-- Uses formula NormSDist(d2)
#VALUE! CallOption <-- S*N(d1)-X*exp(-r*T)*N(d2)
#VALUE! PutOption <-- call price - S + X*Exp(-r*T): by Put-Call parity

S CallOption VH
50 #VALUE! 0
52 #VALUE! 2
54 #VALUE! 4
55 #VALUE! 5
58 #VALUE! 8
59.5 #VALUE! 9.5
61.4 #VALUE! 11.4
63.3 #VALUE! 13.3
65.2 #VALUE! 15.2
67.1 #VALUE! 17.1
69 #VALUE! 19
70.9 #VALUE! 20.9
72.8 #VALUE! 22.8
74.7 #VALUE! 24.7
76.6 #VALUE! 26.6
78.5 #VALUE! 28.5
80.4 #VALUE! 30.4
82.3 #VALUE! 32.3
84.2 #VALUE! 34.2
86.1 #VALUE! 36.1
88 #VALUE! 38
89.9 #VALUE! 39.9
91.8 #VALUE! 41.8
93.7 #VALUE! 43.7
S 55
X 60
T 0.75
r 0.05
Target 5

#VALUE!
Share price (S) 100.00
Exercise price (X) 95.00
Int rate-cont (r) 8.00%
Time maturity (T, years) 0.5000
Volatility (s) 20.00%

BSone #VALUE!
BStwo #VALUE!

Step Epsilon ST
1 -2.213601
2 0.205654
3 0.536561
4 -0.253568
5 2.246707
6 -1.283588
7 1.541594
8 2.780216
9 -0.530563
10 1.0646
11 0.314587
12 -1.997432
13 -1.095161
14 -1.185585
15 1.465792
16 0.169293
17 1.543854
18 1.802064
19 1.791304
20 0.679756
21 -0.024827
22 -1.382314
23 -2.02459
24 -1.169822
25 -0.310972
26 0.128989
27 1.109911
28 1.356716
29 0.866899
30 0.009295
31 -0.414695
32 -0.363286
33 -0.473206
34 -1.236879
35 -1.485564
36 0.45854
37 -0.158207
38 0.642444
39 0.171855
40 1.346421
41 0.800408
42 0.737281
43 -0.007611
44 -0.62115
45 0.523356
46 1.123612
47 -0.33402
48 -1.207654
49 0.978
50 -0.702585
51 -0.020311
52 -0.549949
53 1.209562
54 0.456416
55 -0.222012
56 1.267881
57 1.007299
58 1.034871
59 0.400314
60 -0.854599
61 1.242984
62 0.709554
63 -1.790163
64 0.879329
65 -0.080986
66 0.578835
67 -0.45701
68 1.052808
69 -0.077686
70 0.782306
71 0.093426
72 -0.992418
73 -0.805687
74 -1.478684
75 0.424803
76 -0.630361
77 -1.279591
78 0.916536
79 -1.455128
80 -0.562809
81 0.265753
82 0.378857
83 -0.254595
84 -0.277341
85 0.028729
86 1.079275
87 -0.832001
88 1.675303
89 -1.801291
90 -0.607017
91 -1.024473
 92 -1.198821
93 0.822415
94 -0.22821
95 -1.681874
96 1.11474
97 -0.91735
98 0.03026
99 -0.194103
100 -0.464922
101 -0.979605
102 -0.711129
103 -1.48857
104 -0.447181
105 -1.477315
106 -0.029036
107 -0.911425
108 -1.286908
109 -0.430839
110 -0.714482
111 -0.027658
112 2.271227
113 0.807488
114 0.8346
115 -1.324402
116 -1.399012
117 0.056677
118 -0.228681
119 -0.470127
120 0.704447
Share price (S) 100.00
Exercise price (X) 95.00
Int rate-cont (r) 8.00%
Time maturity (T, years) 0.5000
Volatility (s) 20.00%

deltaC #VALUE!
gamaC #VALUE!
rhoC #VALUE!
thetaC #VALUE!
lambdaC #VALUE!

ΛC = Λ P
 ΔC = N ( d 1 ) Δ P=N (d 1 )−1
'
N ( d1 )
Γ C = Γ P=
S 0 σ √T
−1 2
1 d
' 2 1
N ( d1 )= e
√2 π
−rT −rT
ρC =KTe N (d 2 ) ρ P =−KTe N (−d 2 )
'
−S 0 σ . N ( d 1 )
θ P= +rK . e−rT
' 2 √T
ΛC = Λ P =S √ T N (d 1 )
 −rT
Te N (−d 2 )
'
0 σ . N ( d 1)
+rK . e−rT N (−d 2 )
2√T