Donnée

volatilité 0.03 Ф S(T) moyenne maximum

r 0.08 0.474544652985 117.110477 115.506802 130.756931
T 3 0.217976927143 115.559562
So 90 -1.00992161862 108.416751
k 100 1.370081084287 122.688813
-0.83751274768 109.39238
1.119387834903 121.100983
0.161743464678 115.222392
0.025958372728 114.41229
0.432865012418 116.85712
0.222071806821 115.584153
0.005093331839 114.288314
0.32047883005 116.176692
1.530547545031 123.716079
0.655245704823 118.215264
0.602728622535 117.89311
-0.51019649247 111.268821
-0.12543558823 113.515779
1.993664237937 126.729324
-0.35792795345 112.152683
-1.39078176876 106.292266
0.396861816285 116.638711
0.179890466606 115.331092
1.90755266426 126.163542
-0.08059976113 113.780549
0.235592603929 115.665386
0.985199357071 120.259527
-0.01258106645 114.183401
1.647772720553 124.471958
1.285591291163 122.151363
-0.46092724337 111.554046
-1.1380573494 107.697296
0.342921809445 116.312253
1.501810674229 123.531482
0.641260697693 118.129391
0.006602441766 114.297277
-1.37265492501 106.39243
-0.94186843114 108.800807
1.158703241223 121.348632
1.994066033114 126.73197
-0.65632938119 110.427124
0.689972439274 118.428771
-0.44991248988 111.617911
-0.19052128971 113.132522
1.229203757808 121.793985
0.985365894419 120.260567
-0.26489592843 112.696152
0.562357270542 117.646058
-1.21232203256 107.282503
-0.26204669994 112.712838
2.099211085237 127.426264
1.900006073196 126.114078
-0.4885488909 111.394051
-1.32211363676 106.672205
-0.37546890713 112.050508
-2.61810405906 99.7252588
0.99188369848 120.301304
2.32523638497 128.93166
-1.62023298972 105.032507
1.8988124188 126.106257
0.183379701668 115.352004
-0.83660810658 109.397522
1.953825973182 126.467258
0.565858429882 117.667463
-1.15120705507 107.623734
-0.95108033909 108.74874
0.714789535254 118.581587
0.604177311922 117.901985
0.134792083318 115.061144
-0.67369520578 110.327525
0.651604571526 118.1929
0.009714361415 114.31576
-1.65498036863 104.843039
1.90335253034 126.13601
-1.34106967286 106.567187
0.040358443928 114.497931
-0.94073473221 108.807216
-0.3147021088 112.404871
1.968834197669 126.565922
0.653355131281 118.203652
1.662043804735 124.564294
-0.82831572941 109.44467
0.117358511269 114.95696
-1.05498189219 108.163201
0.373443042094 116.496862
-0.77595737978 109.742832
0.794097012262 119.071263
-0.04900983028 113.967469
0.637471504233 118.106134
-0.00736066786 114.214379
1.13791484128 121.217622
0.954367427107 120.067016
-0.16127820519 113.304559
-1.3883610435 106.305637
1.000440704986 120.354806
-0.54230616016 111.083327
-0.44742889821 111.632317
1.155410939675 121.327874
-1.45341134804 105.946919
1.783604642353 125.353593
-0.03754411296 114.035388
1.115744063202 121.078056
1.347547801334 122.545245
-0.08398189041 113.760555
1.492446852849 123.471392
-1.59132563312 105.190392
-1.23342497977 107.164928
1.014942294029 120.44553
-0.3358389518 112.281484
-0.05113027404 113.954912
-0.96860056762 108.649783
0.68291309131 118.385337
0.654520195524 118.210808
-0.16347369624 113.291634
-0.65229945 110.45025
-0.55906023743 110.986664
1.201840702519 121.620938
-0.29606955521 112.513751
-0.71410071828 110.096132
1.527702474855 123.697791
-0.41564097364 111.816857
1.022397113857 120.492195
-1.23397591853 107.16186
-1.33810633125 106.583597
-1.68751689246 104.665936
-2.14327447986 102.216372
2.33679161974 129.009097
1.221427771003 121.744784
1.085150785859 120.885735
0.260988671742 115.818121
-0.24298238214 112.824548
-0.55417518586 111.01484
1.19787120564 121.595855
-0.18893475551 113.141849
1.243869087795 121.886832
1.805358361288 125.495367
0.809919079164 119.169196
-1.45516358659 105.937273
0.465842407104 117.057533
0.67026558603 118.307562
0.977376845828 120.210655
2.169784976424 127.89441
-0.23848027311 112.850944
-1.50941371743 105.639065
-0.60245747057 110.736672
1.372963464482 122.70719
0.468040059058 117.070901
1.05485065744 120.695557
0.775353467377 118.955351
0.42968209652 116.837795
-0.47823332961 111.453776
1.029079009236 120.534038
-1.19058945817 107.403721
0.652401497594 118.197795
0.316192230543 116.150818
1.33482382854 122.46425
-0.87354284601 109.187769
1.219817305098 121.734597
0.0922622958 114.80715
1.075224138248 120.823398
2.59577525389 130.756931
-0.39615171059 111.930151
0.967967758084 120.151897
-0.94886980914 108.761232
0.326230648966 116.211419
-0.78170437618 109.710066
-0.00652485801 114.219339
1.287096794567 122.160919
-1.68345259442 104.688043
1.36399069138 122.649992
0.658505077794 118.235287
-0.45703397478 111.576615
2.097039154817 127.411884
-0.72072358471 110.05825
-0.22922661855 112.90522
-0.35024926168 112.197441
0.279998625483 115.932581
0.120530435221 114.975909
0.542318615142 117.523624
0.834083404414 119.318921
0.622718514305 118.01563
-0.62532502623 110.60517
1.751005391212 125.141435
0.028647013014 114.428276
-0.05802657872 113.914085
-1.12266988049 107.78344
-0.81714200849 109.508232
1.27486334258 122.08329
-0.51952139687 111.21492
-0.4574972964 111.573929
-0.07173711278 113.832959
0.705413819423 118.523831
-0.11692230927 113.566005
-0.2788255859 112.614611
-0.33833246644 112.266937
0.098665346311 114.845354
0.796652859501 119.087077
1.870775600484 125.922674
-2.1925093473 101.955204
-0.18983631813 113.136549
-0.42181271992 111.781004
-3.36951015934 95.9065986
 Valeurs du Call
VT V(0)
15.2501286 11.996176
 Donnée δt Ф S1 MOY δS1 S2
volatilité 0.03 0.5 -0.83217154 92.0112278 93.7103186 98.8676523
r 0.08 1 -0.55279013 92.5446196 99.65308
T 2 1.5 1.34591177 96.169599 104.990919
So 90 2 -0.76273242 92.1438002 99.0628672
k 100 -0.88283879 91.9144945 98.725211
δt 0.5 -0.88167162 91.9167229 98.7284923
0.96766203 95.447449 103.927542
-0.97010107 91.7478944 98.4798897
0.44967385 94.458512 102.471316
0.81886139 95.1633606 103.509217
-2.73982194 88.369164 93.5046565
0.17387388 93.931958 101.695957
1.26664738 96.0182684 104.768082
0.9416186 95.3977272 103.854325
2.09247279 97.5949246 107.089733
-0.02042534 93.5610042 101.149722
1.51974681 96.5014828 105.479623
1.02940583 95.5653296 104.101123
-0.61542292 92.4250418 99.4769998
-0.02070998 93.5604607 101.148922
-1.00853169 91.6745231 98.3718493
-0.32500354 92.979507 100.293459
0.32993092 94.2299003 102.134682
0.06322673 93.7207117 101.384894
1.57180921 96.6008798 105.625986
0.54453279 94.6396156 102.737994
-0.28098127 93.0635539 100.417219
-0.67817918 92.3052282 99.3005725
0.84436473 95.2120513 103.580915
-0.31613531 92.9964382 100.31839
0.2110751 94.0029821 101.800542
-0.05896116 93.487432 101.041386
0.76349165 95.0576493 103.353555
-1.19060075 91.326919 97.8599968
1.30106861 96.083985 104.864851
-0.49730595 92.6505493 99.8090631
0.40981504 94.3824141 102.359261
-1.46527481 90.8025145 97.087803
1.28197435 96.0475304 104.811171
0.82412085 95.1734019 103.524003
0.394002 94.352224 102.314806
 0.23888676 94.0560798 101.878729
0.85813558 95.2383424 103.619629
-0.18620734 93.2444951 100.683658
0.84840043 95.2197562 103.59226
1.81690182 97.0688077 106.315018
0.44270975 94.4452163 102.451738
-0.05040105 93.5037749 101.065451
1.14970393 95.7950013 104.439318
-1.67422584 90.4035876 96.500377
-1.12676464 91.4487941 98.0394599
-0.34903591 92.9336247 100.225896
0.58135213 94.7099107 102.841505
1.3661882 96.2083105 105.047922
-1.39256204 90.9413368 97.2922211
-0.92422942 91.835472 98.6088491
-0.34317227 92.9448195 100.242381
1.47046107 96.4073871 105.341065
0.70149943 94.9392945 103.179276
-0.87663601 91.9263368 98.7426489
0.49297109 94.5411746 102.593038
-1.1211299 91.4595519 98.0553009
0.34673892 94.2619899 102.181935
0.34691186 94.2623201 102.182421
-1.26328334 91.1881542 97.6556636
-0.18139249 93.2536876 100.697194
0.11102337 93.8119645 101.519265
1.05625773 95.6165949 104.176612
-0.06491189 93.476071 101.024657
0.44729798 94.4539761 102.464637
-1.2217459 91.267457 97.7724382
-0.0433229 93.5172884 101.08535
-0.45060453 92.7397111 99.9403553
-0.06080096 93.4839195 101.036214
-0.64139619 92.3754539 99.4039809
0.56453951 94.6778122 102.794239
-0.34982302 92.932122 100.223683
-2.32271047 89.1655083 94.677286
-0.73094557 92.2044873 99.1522298
0.66749345 94.8743707 103.083675
-0.13902607 93.334573 100.816299
0.81541002 95.1567713 103.499514
-1.40180926 90.9236821 97.2662243
0.62142503 94.7864174 102.954162
-0.47330347 92.6963746 99.8765416
-0.8662845 91.9460998 98.7717502
-1.6408205 90.4673647 96.5942898
-0.57243346 92.5071167 99.5978565
-0.73202686 92.2024229 99.14919
-0.17854328 93.2591273 100.705204
-0.62065836 92.4150463 99.4622813
0.27430597 94.1237018 101.978303
-1.05551291 91.5848271 98.2397706
-1.39030987 90.9456366 97.2985527
-0.44167951 92.7567506 99.9654463
0.82055284 95.1665899 103.513972
-1.95320695 89.8709601 95.7160747
0.63273691 94.8080139 102.985963
-0.27297568 93.078838 100.439725
3.33689972 99.9707699 110.588202
0.19726402 93.9766142 101.761714
-1.42831514 90.8730774 97.1917081
1.83326181 97.100042 106.361011
0.76222275 95.0552268 103.349988
0.40930502 94.3814404 102.357827
-1.2617805 91.1910234 97.6598885
0.97199661 95.4557246 103.939727
0.70280081 94.9417791 103.182935
-1.0258823 91.6413975 98.3230714
1.10671937 95.7129357 104.318475
0.45605278 94.4706906 102.48925
1.6500164 96.750192 105.845851
-0.4970264 92.651083 99.8098491
2.30679071 98.0040979 107.692247
-0.17875167 93.2587294 100.704618
1.06275693 95.6290031 104.194883
0.43498989 94.4304776 102.430035
0.02578718 93.6492326 101.27964
-0.92784219 91.8285745 98.5986925
1.31793683 96.1161896 104.912273
-1.43365907 90.8628749 97.1766847
-0.13171636 93.3485287 100.836849
0.21880006 94.0177305 101.822259
-1.09800983 91.5036925 98.1202986
-1.17335494 91.3598445 97.9084802
-1.03420171 91.6255142 98.299683
0.96135327 95.4354044 103.909806
-0.37464107 92.8847397 100.153912
-0.42652838 92.785677 100.008041
-0.94483647 91.7961293 98.5509163
2.04703338 97.5081722 106.961989
-0.56697643 92.5175352 99.6131979
0.91966261 95.3558091 103.7926
1.04617751 95.5973499 104.148273
-0.1832807 93.2500826 100.691885
-0.56769973 92.5161543 99.6111644
-0.18847958 93.240157 100.67727
0.30928644 94.1904861 102.076644
-1.55886516 90.6238329 96.8246916
-1.28767708 91.141582 97.5870852
-0.12245557 93.3662093 100.862884
-0.45883134 92.7240046 99.9172272
-0.65589452 92.3477739 99.3632216
-0.745475 92.1767478 99.1113831
0.3735676 94.3132109 102.257358
1.05926246 95.6223315 104.185059
0.46095438 94.4800487 102.50303
0.42034022 94.4025086 102.388851
0.92835827 95.3724108 103.817047
-0.8015089 92.0697686 98.9538545
-0.3039227 93.0197543 100.352723
-0.02552204 93.5512736 101.135394
-0.24231782 93.1373696 100.525914
0.12488394 93.838427 101.558232
0.12073741 93.8305105 101.546574
1.42115552 96.3132535 105.202452
0.69773739 94.9321121 103.1687
0.13643446 93.8604791 101.590704
-1.40285568 90.9216843 97.2632825
0.76620013 95.0628203 103.36117
-1.09806454 91.503588 98.1201448
0.04482581 93.6855809 101.333163
0.569913 94.6880712 102.809346
1.52204845 96.5058771 105.486093
0.90723524 95.3320829 103.757663
-0.87530092 91.9288857 98.7464023
-0.61424623 92.4272883 99.4803078
-1.46526561 90.802532 97.0878289
2.54536699 98.4595849 108.362959
0.60718064 94.7592222 102.914117
-0.06686174 93.4723483 101.019175
1.10891724 95.7171318 104.324654
-0.81607721 92.0419549 98.9128985
1.56035068 96.5790033 105.593773
1.3125518 96.1059086 104.897134
-0.91989557 91.8437461 98.6210329
-0.85142078 91.9744774 98.8135367
-0.01486358 93.5716226 101.165358
-1.00667091 91.6780757 98.3770806
-1.02879145 91.6358434 98.3148929
0.2271254 94.0336252 101.845664
0.24374282 94.0653509 101.892381
-0.99206398 91.705963 98.4181452
-0.27320756 93.0783953 100.439073
0.53835234 94.627816 102.720619
-0.21994677 93.1800802 100.588806
0.03939909 93.6752203 101.317907
0.85647707 95.235176 103.614966
1.49716274 96.4583656 105.416132
0.8827743 95.2853824 103.688896
1.40243692 96.2775162 105.149828
2.43615274 98.2510743 108.055924
0.19588678 93.9739847 101.757842
-0.1469222 93.3194979 100.7941
0.3628614 94.2927707 102.22726
1.04955808 95.603804 104.157777
0.18549919 93.9541529 101.72864
-0.40726193 92.8224603 100.062205
MOY δS2 S3 MOY δS3 S4 MOY δS4 V(T) call V(0)
101.36959 110.434471 113.749157 127.932989 132.227881 32.22788086 27.4627885
111.475043 129.281274
118.546865 138.444349 lookback call 32.2278809
110.693101 128.2681 lookback put 6.28968137
110.245758 127.68847
110.250105 127.694103 moyenne géométrique
117.138053 136.618928 109.3305624
109.920745 127.267345
115.208776 134.119134
116.583836 135.900821
103.329319 118.726729
114.181544 132.788132
118.251641 138.061822
117.041053 136.493243
121.327474 142.047229
113.457865 131.85045
119.194324 139.283271
117.368021 136.916902
111.241763 128.979011
113.456805 131.849076
109.777607 127.08188
112.323447 130.380565
114.762787 133.541258
113.769432 132.254152
119.388233 139.534523
115.562084 134.57692
112.48741 130.593015
111.008024 128.676151
116.678825 136.023899
112.356477 130.423363
114.320102 132.967664
113.314337 131.664477
116.377609 135.633608
109.099481 126.203221
118.379844 138.227937
111.681697 129.549039
115.06032 133.926776
108.076442 124.877653
118.308727 138.135789
116.603426 135.926203
115.001424 133.850463
114.423688 133.101882
116.730115 136.090357
112.840401 131.050391
116.693856 136.043375
120.301094 140.717332
115.182838 134.085525
113.346219 131.705788
117.816078 137.497456
107.298192 123.869262
109.337242 126.511292
112.233937 130.264586
115.69922 134.754609
118.622386 138.542202
108.347265 125.228562
110.091596 127.48872
112.255776 130.292884
119.010756 139.04542
116.146715 135.334436
110.26886 127.718405
115.37004 134.328085
109.358229 126.538485
114.82539 133.622373
114.826034 133.623207
108.828771 125.852457
112.858334 131.073628
113.947454 132.484817
117.468032 137.046488
113.292173 131.635759
115.199927 134.107668
108.983479 126.052915
113.372582 131.739947
111.855639 129.774419
113.307484 131.655598
111.145024 128.853664
115.6366 134.673472
112.231005 130.260787
104.882874 120.739696
110.811493 128.421502
116.020058 135.170324
113.01613 131.278087
116.570982 135.884165
108.312823 125.183935
115.848473 134.947999
111.771095 129.664875
110.307415 127.768361
107.422612 124.030475
111.40188 129.186476
110.807465 128.416284
112.868946 131.087378
111.222264 128.953745
114.555609 133.272814
109.602623 126.85515
108.355653 125.239431
111.88888 129.817491
116.590136 135.908984
106.259111 122.522908
115.890605 135.00259
112.517227 130.63165
125.962413 148.052793
114.268662 132.901012
108.2141 125.056019
120.362028 140.796285
116.372883 135.627485
115.058421 133.924315
108.834368 125.85971
117.154197 136.639847
116.151562 135.340716
109.712984 126.998147
117.65598 137.290014
115.232535 134.149918
119.67952 139.911948
111.682738 129.550388
122.125713 143.08152
112.86817 131.086372
117.492239 137.077853
115.154085 134.048269
113.629987 132.07347
110.07814 127.471285
118.442671 138.309343
108.194197 125.030229
113.043356 131.313363
114.348874 133.004944
109.444341 126.650062
109.163714 126.286449
109.681998 126.957998
117.114555 136.588482
112.138569 130.141016
111.945312 129.89061
110.014844 127.389271
121.158232 141.82794
111.422205 129.212812
116.959276 136.387284
117.430488 136.997841
112.851301 131.064515
111.419511 129.209321
112.831938 131.039426
114.685896 133.441628
107.727859 124.425989
108.737915 125.734734
113.077848 131.358055
111.824998 129.734717
111.091025 128.783696
110.757377 128.351383
114.925314 133.751847
117.479224 137.060989
115.250791 134.173573
115.099522 133.97757
116.991664 136.429249
110.548676 128.080966
112.401964 130.482301
113.438883 131.825853
112.631414 130.779604
113.999078 132.551708
113.983634 132.531697
118.827115 138.807473
116.132703 135.31628
114.042099 132.60745
108.308925 125.178885
116.387697 135.646679
109.444137 126.649798
113.700897 132.16535
115.656614 134.699404
119.202896 139.294379
116.91299 136.32731
110.273833 127.724848
111.246146 128.984689
108.076476 124.877697
123.014304 144.232882
115.795419 134.879256
 113.28491 131.626349
117.664166 137.300621
110.494415 128.010659
119.345555 139.479224
118.422614 138.283355
110.107738 127.509635
110.362776 127.840093
113.478581 131.877291
109.784538 127.09086
109.702149 126.984107
114.379882 133.045122
114.441775 133.125317
109.838942 127.161353
112.516364 130.630531
115.539065 134.547093
112.714737 130.887566
113.680685 132.139161
116.723938 136.082353
119.110208 139.174281
116.821884 136.209262
118.757396 138.717138
122.607529 143.705817
114.263532 132.894365
112.986721 131.23998
114.885439 133.700179
117.443079 137.014156
114.224843 132.844235
112.017071 129.983589
 Donnée MOY δS1 93.7103186 A(T)
volatilité 0.03 MOY δS2 101.36959 110.264237
r 0.08 MOY δS3 113.749157
T 2 MOY δS4 132.227881
So 90
k 100
δt 0.5
G(T) call asiatique arith 10.2642366
109.330562 call asiatique géo 9.3305624
put asiatique arith 0
put asiatique géo 0