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black_scholes_prb_output.txt
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17 February 2012 11:32:49.520 AM
BLACK_SCHOLES_TEST
FORTRAN77 version
Test the BLACK_SCHOLES library.
ASSET_PATH_TEST:
Demonstrate the simulated of an asset price path.
The asset price at time 0 S0 = 2.00000
The asset expected growth rate MU = 0.100000
The asset volatility SIGMA = 0.300000
The expiry date T1 = 1.00000
The number of time steps N = 100
The random number seed was SEED = 123456789
Partial results:
1: 2.00000
2: 2.10353
3: 2.07412
4: 2.03940
5: 2.02551
6: 2.10078
7: 2.13498
8: 2.21808
........ ..............
101: 2.44083
Full results written to "asset_path.txt".
BINOMIAL_TEST:
A demonstration of the binomial method
for option valuation.
The asset price at time 0 S0 = 2.00000
The exercise price E = 1.00000
The interest rate R = 0.500000E-01
The asset volatility SIGMA = 0.250000
The expiry date T1 = 3.00000
The number of intervals M = 256
The option value is 1.14476
BSF_TEST:
A demonstration of the Black-Scholes formula
for option valuation.
The asset price at time T0 S0 = 2.00000
The time T0 = 0.00000
The exercise price E = 1.00000
The interest rate R = 0.500000E-01
The asset volatility SIGMA = 0.250000
The expiry date T1 = 3.00000
The option value C = 1.14474
FORWARD_TEST:
A demonstration of the forward difference method
for option valuation.
The exercise price E = 4.00000
The interest rate R = 0.300000E-01
The asset volatility SIGMA = 0.500000
The expiry date T1 = 1.00000
The number of space steps NX = 11
The number of time steps NT = 29
The value of SMAX = 10.0000
Initial Option
Value Value
1.00000 0.139363E-02
2.00000 0.373367E-01
3.00000 0.223638
4.00000 0.627210
5.00000 1.20992
6.00000 1.91439
7.00000 2.69543
8.00000 3.52261
9.00000 4.37638
10.0000 5.24428
MC_TEST:
A demonstration of the Monte Carlo method
for option valuation.
The asset price at time 0, S0 = 2.00000
The exercise price E = 1.00000
The interest rate R = 0.500000E-01
The asset volatility SIGMA = 0.250000
The expiry date T1 = 3.00000
The number of simulations M = 1000000
The confidence interval is [ 1.14311 , 1.14663 ].
BLACK_SCHOLES_TEST
Normal end of execution.
17 February 2012 11:32:49.642 AM