re : eott options tracy ,
attached is a spreadsheet model which contains both black - scholes and
american option valuation models . these are the generally accepted methods
for valuation of options on equity . the " european " option prices assume
that the option holder can exercise his options only at maturity , while the
" american " style options can be exercised at any time during their life .
i have assumed in the examples that the underlying equity units have a market
value of $ 13 . 00 and that the options are struck at this level . the
volatility input is the other main assumption . eott has been trading
recently with a volatility ranging between 30 % to 40 % although looking
further back , the range is much wider .
to run the model , you must be linked with the options library . i am not
sure what lan you are connected with , but you can coordinate with zimin lu
( x 36388 ) for help with loading the option library add - in module . on the ena
lan it is located under o : \ research \ exotica \ xll \ exotica . xll . this is
loaded in excel using the tools / add - ins and browse to reach the add - in
location .
- - stinson
x 34748
p . s . i will mail you a hard - copy of a plot showing recent eott volatility
as well . if you would like us to help you in running specific examples ,
please let me , vince , or zimin know .
re : eott options
tracy ,
attached is a spreadsheet model which contains both black - scholes and
american option valuation models . these are the generally accepted methods
for valuation of options on equity . the " european " option prices assume
that the option holder can exercise his options only at maturity , while the
" american " style options can be exercised at any time during their life .
i have assumed in the examples that the underlying equity units have a market
value of $ 13 . 00 and that the options are struck at this level . the
volatility input is the other main assumption . eott has been trading
recently with a volatility ranging between 30 % to 40 % although looking
further back , the range is much wider .
to run the model , you must be linked with the options library . i am not
sure what lan you are connected with , but you can coordinate with zimin lu
( x 36388 ) for help with loading the option library add - in module . on the ena
lan it is located under o : \ research \ exotica \ xll \ exotica . xll . this is
loaded in excel using the tools / add - ins and browse to reach the add - in
location .
- - stinson
x 34748
p . s . i will mail you a hard - copy of a plot showing recent eott volatility
as well . if you would like us to help you in running specific examples ,
please let me , vince , or zimin know .