Example description

nag_pde_bs_1d (d03ncc) Example Program Results


Option Values
-------------
   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
-----
   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
-----
   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
-----
   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
------
   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