-Terms to Change are those highlighted in blue below Option Price Start Date 1-Jun-01 C-Brick Value 1.9264 End Date 1-Jun-02 Asset Price A 100.000 Asset Price B 103.000 Strike 1 97.000 Strike 3 102.000 Strike 2 99.000 Strike 4 104.000 Dividend Yield A 5.00% Dividend Yield B 5.00% Volatility of A 20.00% Volatility of B 10.00% Cash Amount 100.000 Risk Free Rate 8.00% Correlation 0.50 Time to Maturity 1.000 yrs http://www.global-derivatives.com Kevin Cheng (Jun 21, 2003) The sheet is protected in order to prevent calculated cells from being mistakenly altered For unprotected versions, please email info@global-derivatives.com Inputs Outputs C-Brick Cash payoff if asset A is between X1 & X2 and asset B is between X3 & X4
sammyc2007 6/13/2008 |
208 |
6 |
0 |
legal
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190 |
0 |
0 |
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250 |
4 |
0 |
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222 |
2 |
0 |
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sammyc2007 6/13/2008 |
406 |
2 |
0 |
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319 |
1 |
0 |
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sammyc2007 6/13/2008 |
207 |
0 |
0 |
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sammyc2007 6/13/2008 |
174 |
0 |
0 |
legal
sammyc2007 6/13/2008 |
299 |
0 |
0 |
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sammyc2007 6/13/2008 |
246 |
0 |
0 |
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