EC 362 Fall 2000 Exercise 3
(due 19 October at classtime)

• Question 1
• Question 3
• Question 6

For the following problems, use the online calculators at http://chrysolite.com to calculate option values. Do not use the Excel-based software that you may have from the textbook; the values generated by the chrysolite calculators will be taken as definitive, and will differ due to treatment of the risk-free rate as a 365 vs 360-day yield. Hit the Gamma/Delta button for the menu of options calculators. The questions from chapter 8 may be answered using the plain Black-Scholes calculator; the question from chapter 9 will require the Black calculator. Note that you must have JavaScript enabled in your browser to use the calculators, but this is the same requirement that BC's Agora imposes.

• Question 1
• Question 2
• Question 4

• Question 10, with an alteration: the last column of the table should be the European Put value of the futures option, rather than the American Call value.