Previously, the emphasis was on obtaining information from clients. In this chapter, the emphasis was on preparing witnesses for trial. To properly prepare witnesses for trial, the paralegal needs to….
build a pricer which computes the value of European calls and puts using the closed-form formulas
Plain vanilla option pricer
In a spreadsheet, build a pricer which computes the value of European calls and puts using the closed-form formulas The user must be able to input the following parameters: forward price F, strike K, maturity T, risk-free rate r, and volatility σ. Then, produce the following graphs:
(a) Value of a 1-year call struck at 100 as a function of F, with Also draw the discounted “forward-intrinsic” value on the same graph, i.e.
(b) Value of 1-year and 2-year puts struck at 100 as a function of with
(c) Value of a 2-year call as time passes for strikes , with