E= 5 delta call delta put

X t Volatilidad rf d1 N(d1) N(d1)-1

0 0.25 0.35 0.05 Err:502 Err:502 Err:502
0.20 0.25 0.35 0.05 -4.55866189 2.57403E-06 -0.99999743
1.20 0.25 0.35 0.05 -1.99900551 0.02280388 -0.97719612
2.20 0.25 0.35 0.05 -1.13309722 0.12858671 -0.87141329
3.20 0.25 0.35 0.05 -0.59782086 0.27497973 -0.72502027
4.20 0.25 0.35 0.05 -0.20934412 0.4170898 -0.5829102
5.20 0.25 0.35 0.05 0.09576173 0.53814509 -0.46185491
6.20 0.25 0.35 0.05 0.34703411 0.63571715 -0.36428285
7.20 0.25 0.35 0.05 0.56065088 0.71248222 -0.28751778
8.20 0.25 0.35 0.05 0.74644106 0.77229949 -0.22770051
9.20 0.25 0.35 0.05 0.91082582 0.81880642 -0.18119358
10.20 0.25 0.35 0.05 1.05823187 0.85502513 -0.14497487
11.20 0.25 0.35 0.05 1.19184052 0.88333811 -0.11666189
12.20 0.25 0.35 0.05 1.31401506 0.90557943 -0.09442057
13.20 0.25 0.35 0.05 1.42655917 0.9231465 -0.0768535
14.20 0.25 0.35 0.05 1.53088079 0.93710057 -0.06289943
15.20 0.25 0.35 0.05 1.62810002 0.94824816 -0.05175184
16.20 0.25 0.35 0.05 1.71912261 0.95720398 -0.04279602
17.20 0.25 0.35 0.05 1.80469139 0.96443851 -0.03556149
18.20 0.25 0.35 0.05 1.88542312 0.97031363 -0.02968637
19.20 0.25 0.35 0.05 1.96183552 0.97510918 -0.02489082
20.20 0.25 0.35 0.05 2.03436742 0.97904272 -0.02095728
21.20 0.25 0.35 0.05 2.10339396 0.98228433 -0.01771567
22.20 0.25 0.35 0.05 2.16923839 0.98496771 -0.01503229
23.20 0.25 0.35 0.05 2.23218124 0.98719851 -0.01280149
24.20 0.25 0.35 0.05 2.29246746 0.98906066 -0.01093934
25.20 0.25 0.35 0.05 2.35031226 0.99062117 -0.00937883
26.20 0.25 0.35 0.05 2.40590571 0.99193379 -0.00806621
27.20 0.25 0.35 0.05 2.45941652 0.99304185 -0.00695815
28.20 0.25 0.35 0.05 2.51099509 0.99398043 -0.00601957
29.20 0.25 0.35 0.05 2.56077614 0.99477807 -0.00522193
30.20 0.25 0.35 0.05 2.60888073 0.99545806 -0.00454194
31.20 0.25 0.35 0.05 2.65541812 0.99603949 -0.00396051
32.20 0.25 0.35 0.05 2.7004872 0.9965381 -0.0034619
33.20 0.25 0.35 0.05 2.7441778 0.99696687 -0.00303313
34.20 0.25 0.35 0.05 2.78657176 0.99733656 -0.00266344
35.20 0.25 0.35 0.05 2.82774381 0.99765613 -0.00234387
36.20 0.25 0.35 0.05 2.86776244 0.99793307 -0.00206693
37.20 0.25 0.35 0.05 2.9066905 0.99817363 -0.00182637
38.20 0.25 0.35 0.05 2.94458586 0.99838306 -0.00161694
39.20 0.25 0.35 0.05 2.98150191 0.99856581 -0.00143419
40.20 0.25 0.35 0.05 3.01748798 0.9987256 -0.0012744
41.20 0.25 0.35 0.05 3.05258978 0.99886562 -0.00113438
42.20 0.25 0.35 0.05 3.08684973 0.99898855 -0.00101145
43.20 0.25 0.35 0.05 3.12030726 0.99909669 -0.00090331
44.20 0.25 0.35 0.05 3.15299911 0.99919199 -0.00080801
45.20 0.25 0.35 0.05 3.18495953 0.99927613 -0.00072387
46.20 0.25 0.35 0.05 3.21622055 0.99935055 -0.00064945
47.20 0.25 0.35 0.05 3.24681211 0.99941647 -0.00058353
48.20 0.25 0.35 0.05 3.2767623 0.99947498 -0.00052502
49.20 0.25 0.35 0.05 3.30609744 0.99952697 -0.00047303
50.20 0.25 0.35 0.05 3.33484231 0.99957326 -0.00042674
 N(d1)-1
0
0.00 10.00 20.00 30.00 40.00 50.00 60.00

-0.2

-0.4

-0.6

-0.8

-1

-1.2

tipo de cambio, precio de bonos

 N(d1)
1.2

0.8

0.6

0.4

0.2

0
0.00 10.00 20.00 30.00 40.00 50.00 60.00
40.00 50.00 60.00
K
E 5

X t Volatilidad rf d1 N(d1) N(d1)-1

7 0 0.35 0.05 0 0.5 -0.5
7 0.1 0.35 0.05 0.31115661 0.62215922 -0.37784078
7 0.2 0.35 0.05 0.45007592 0.67367215 -0.32632785
7 0.3 0.35 0.05 0.56342154 0.71342606 -0.28657394
7 0.4 0.35 0.05 0.66455399 0.7468321 -0.2531679
7 0.5 0.35 0.05 0.75849397 0.77592234 -0.22407766
7 0.6 0.35 0.05 0.84773867 0.80170824 -0.19829176
7 0.7 0.35 0.05 0.93372513 0.82477715 -0.17522285
7 0.8 0.35 0.05 1.01735919 0.84550871 -0.15449129
7 0.9 0.35 0.05 1.09924866 0.86417019 -0.13582981
7 1 0.35 0.05 1.17982035 0.88096416 -0.11903584
7 1.1 0.35 0.05 1.25938454 0.89605426 -0.10394574
7 1.2 0.35 0.05 1.33817292 0.90957996 -0.09042004
7 1.3 0.35 0.05 1.41636228 0.92166527 -0.07833473
7 1.4 0.35 0.05 1.49408987 0.93242393 -0.06757607
7 1.5 0.35 0.05 1.57146381 0.94196252 -0.05803748
7 1.6 0.35 0.05 1.64857024 0.95038214 -0.04961786
7 1.7 0.35 0.05 1.72547847 0.95777936 -0.04222064
7 1.8 0.35 0.05 1.80224473 0.96424654 -0.03575346
7 1.9 0.35 0.05 1.87891492 0.96987194 -0.03012806
7 2 0.35 0.05 1.95552671 0.97473953 -0.02526047
7 2.1 0.35 0.05 2.03211115 0.9789288 -0.0210712
7 2.2 0.35 0.05 2.1086939 0.98251449 -0.01748551
7 2.3 0.35 0.05 2.18529618 0.98556643 -0.01443357
7 2.4 0.35 0.05 2.2619356 0.98814931 -0.01185069
7 2.5 0.35 0.05 2.33862675 0.99032262 -0.00967738
7 2.6 0.35 0.05 2.41538167 0.99214064 -0.00785936
7 2.7 0.35 0.05 2.49221032 0.99365246 -0.00634754
7 2.8 0.35 0.05 2.56912085 0.99490216 -0.00509784
7 2.9 0.35 0.05 2.64611991 0.99592895 -0.00407105
7 3 0.35 0.05 2.72321289 0.99676748 -0.00323252
7 3.1 0.35 0.05 2.80040406 0.99744807 -0.00255193
7 3.2 0.35 0.05 2.8776968 0.99799705 -0.00200295
7 3.3 0.35 0.05 2.95509366 0.99843713 -0.00156287
7 3.4 0.35 0.05 3.03259653 0.9987877 -0.0012123
7 3.5 0.35 0.05 3.11020672 0.99906522 -0.00093478
 N´(d1) Theta Call Theta Put
d1 d2 N(x)
0 0 0.39894228 #DIV/0! #DIV/0!
0.31405685 0.20337713 0.37974535 -1.47105378523682 -1.47105379
0.45835846 0.3018337 0.35916091 #VALUE! #VALUE! Precio spot
0.57878193 0.38707903 0.33741799 -0.75464673012514 -0.75464673
0.68842285 0.46706342 0.31477363 -0.613015045433758 -0.60811405
0.79215604 0.54466867 0.29150616 -0.511904193982663 -0.50215109
0.89238458 0.62127574 0.26790746 -0.434354136611218 -0.41979745
0.99047934 0.69764833 0.24427438 -0.372280646152616 -0.35296854
1.08729696 0.77424745 0.22089984 -0.321292570371075 -0.29727283
1.18340716 0.85136801 0.19806406 -0.278774739306523 -0.25009481
1.27920639 0.92920639 0.1760261 -0.24305240316232 -0.20975937
1.37498012 1.00789702 0.1550165 -0.212982854587602 -0.17512345
1.4709394 1.08753361 0.13523113 -0.187738566320027 -0.14535916
1.56724356 1.16818216 0.11682657 -0.166684948102042 -0.11983157
1.66401487 1.24988929 0.09991742 -0.149308622736568 -0.09802696
1.76134842 1.33268771 0.08457533 -0.135174423806719 -0.07950981
1.85931893 1.41660005 0.07083005 -0.123899549900314 -0.06389699
1.95798558 1.50164141 0.05867202 -0.115138333525305 -0.05084247
2.05739555 1.58782128 0.04805655 -0.108573698228351 -0.04002886
2.15758658 1.67514487 0.03890905 -0.10391281695432 -0.03116298
2.25858891 1.76361416 0.03113102 -0.100885324553322 -0.02397414
2.36042681 1.85322862 0.02460647 -0.099242960129427 -0.01821375
2.4631197 1.9439858 0.0192082 -0.0987598639646677 -0.01365562
2.56668304 2.03588176 0.01480383 -0.0992330030187152 -0.01009639
2.67112905 2.12891139 0.01126107 -0.100482386640065 -0.00735574
2.7764673 2.22306871 0.00845224 -0.102350879431385 -0.00527622
2.88270511 2.31834707 0.00625776 -0.104703530724276 -0.00372256
2.98984798 2.41473929 0.00456867 -0.107426424639679 -0.00258052
3.09789982 2.5122378 0.00328815 -0.110425114145228 -0.00175533
3.20686328 2.61083476 0.00233224 -0.113622739418334 -0.00116984
3.3167399 2.71052212 0.00162976 -0.116957948100159 -0.00076237
3.42753029 2.8112917 0.00112169 -0.120382736168384 -0.00048461
3.53923427 2.91313524 0.00076012 -0.123860317101668 -0.00029947
3.65185101 3.01604444 0.00050703 -0.127363107844753 -0.00017905
3.76537911 3.12001099 0.0003328 -0.130870896702005 -0.00010285
3.87981668 3.22502664 0.00021488 -0.134369234066462 -5.6111E-05
 N(x)=
Theta Call
0
0 5 10 15 20 25 30 35 40
-0.2
-0.4
-0.6
Precio spot
-0.8
-1
-1.2
-1.4
-1.6

Theta de Put y Call

0
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35
-0.2
-0.4
-0.6
-0.8
-1
-1.2
-1.4
-1.6

Column L Column M
all Theta Put
0
25 30 35 0
40 5 10 15 20 25 30 35 40
-0.2
-0.4
-0.6
-0.8
-1
-1.2
-1.4
-1.6

27 29 31 33 35
 K
E 5 Volatilidad cambia

S0 X t Volatilidad rf d1 N(d1) N(d1)-1

7 0.25 0 0.05 #DIV/0! #DIV/0! #DIV/0!
7 0.25 0.05 0.05 3.45582399 0.99972569 -0.00027431
7 0.25 0.1 0.05 1.73122874 0.95829451 -0.04170549
7 0.25 0.15 0.05 1.15783452 0.87653421 -0.12346579
7 0.25 0.2 0.05 0.87223689 0.80846042 -0.19153958
7 0.25 0.25 0.05 0.70175384 0.75858365 -0.24141635
7 0.25 0.3 0.05 0.58882373 0.72201024 -0.27798976
7 0.25 0.35 0.05 0.5087765 0.69454555 -0.30545445
7 0.25 0.4 0.05 0.44927646 0.67338388 -0.32661612
7 0.25 0.45 0.05 0.40346985 0.65669869 -0.34330131
7 0.25 0.5 0.05 0.3672439 0.64328145 -0.35671855
7 0.25 0.55 0.05 0.33798095 0.63231123 -0.36768877
7 0.25 0.6 0.05 0.31393553 0.623215 -0.376785
7 0.25 0.65 0.05 0.29389887 0.61558241 -0.38441759
7 0.25 0.7 0.05 0.27700727 0.60911274 -0.39088726
7 0.25 0.75 0.05 0.26262708 0.60358099 -0.39641901
7 0.25 0.8 0.05 0.25028285 0.59881569 -0.40118431
7 0.25 0.85 0.05 0.2396108 0.594684 -0.405316
7 0.25 0.9 0.05 0.23032779 0.59108146 -0.40891854
7 0.25 0.95 0.05 0.22221016 0.58792486 -0.41207514
7 0.25 1 0.05 0.21507886 0.58514708 -0.41485292
7 0.25 1.05 0.05 0.20878882 0.58269345 -0.41730655
7 0.25 1.1 0.05 0.20322126 0.58051895 -0.41948105
7 0.25 1.15 0.05 0.198278 0.57858622 -0.42141378
7 0.25 1.2 0.05 0.19387713 0.57686395 -0.42313605
7 0.25 1.25 0.05 0.18994982 0.57532578 -0.42467422
7 0.25 1.3 0.05 0.1864378 0.57394928 -0.42605072
7 0.25 1.35 0.05 0.1832914 0.57271531 -0.42728469
7 0.25 1.4 0.05 0.18046802 0.57160742 -0.42839258
7 0.25 1.45 0.05 0.17793094 0.57061139 -0.42938861
7 0.25 1.5 0.05 0.17564834 0.56971489 -0.43028511
7 0.25 1.55 0.05 0.1735925 0.56890714 -0.43109286
7 0.25 1.6 0.05 0.1717392 0.56817872 -0.43182128
7 0.25 1.65 0.05 0.17006716 0.56752134 -0.43247866
7 0.25 1.7 0.05 0.16855763 0.5669277 -0.4330723
7 0.25 1.75 0.05 0.16719403 0.56639131 -0.43360869
olatilidad cambia
N´(d1) Vega
d1 d2 N(x)
#DIV/0! #DIV/0! #DIV/0! #DIV/0!
3.49284737 3.46784737 0.00089478 0.0031317387216589
1.75111118 1.70111118 0.08610966 0.301383797256188
1.17261579 1.09761579 0.20059799 0.702092962361478
0.88493059 0.78493059 0.26968798 0.943907938240624
0.71356947 0.58856947 0.30927352 1.08245730468697
0.60037039 0.45037039 0.33315053 1.16602686745083
0.52040677 0.34540677 0.34841878 1.21946572674439
0.4612153 0.2612153 0.35868945 1.25541307362828
0.41587193 0.19087193 0.36589339 1.28062687531499
0.38022224 0.13022224 0.37112253 1.29892884661491
0.35162249 0.07662249 0.37502683 1.31259389019817
0.3283102 0.0283102 0.37801087 1.32303804654792
0.30906518 -0.01593482 0.38033639 1.33117737090855
0.29301588 -0.05698412 0.38217843 1.33762450239339
0.27952316 -0.09547684 0.38365747 1.3428011431374
0.26810765 -0.13189235 0.38485856 1.34700496024824
0.25840279 -0.16659721 0.38584308 1.35045076311241
0.25012346 -0.19987654 0.38665618 1.35329662672966
0.2430446 -0.2319554 0.38733169 1.35566091685098
0.23698612 -0.26301388 0.38789533 1.35763365561556
0.23180226 -0.29319774 0.38836694 1.3592842744802
0.22737374 -0.32262626 0.388762 1.36066700664199
0.22360206 -0.35139794 0.38909277 1.36182470428366
0.2204051 -0.3795949 0.38936902 1.36279158438616
0.21771389 -0.40728611 0.38959864 1.36359523292761
0.21547009 -0.43452991 0.38978802 1.36425808749846
0.21362398 -0.46137602 0.38994244 1.36479854766516
0.21213294 -0.48786706 0.39006623 1.36523181604771
0.21096025 -0.51403975 0.39016301 1.36557054215058
0.21007408 -0.53992592 0.39023581 1.36582532003403
0.20944669 -0.56555331 0.39028716 1.36600507651189
0.20905382 -0.59094618 0.39031925 1.36611737652897
0.20887416 -0.61612584 0.3903339 1.3661686652939
0.20888889 -0.64111111 0.3903327 1.36616446169265
0.20908135 -0.66591865 0.390317 1.36610951386262
 K
E 5

S0 X t Volatilidad rf d1 N(d1) N(d1)-1

7 0.25 0 0.05 #DIV/0! #DIV/0! #DIV/0!
7 0.25 0.05 0.05 3.45582399 0.99972569 -0.00027431
7 0.25 0.1 0.05 1.73122874 0.95829451 -0.04170549
7 0.25 0.15 0.05 1.15783452 0.87653421 -0.12346579
7 0.25 0.2 0.05 0.87223689 0.80846042 -0.19153958
7 0.25 0.25 0.05 0.70175384 0.75858365 -0.24141635
7 0.25 0.3 0.05 0.58882373 0.72201024 -0.27798976
7 0.25 0.35 0.05 0.5087765 0.69454555 -0.30545445
7 0.25 0.4 0.05 0.44927646 0.67338388 -0.32661612
7 0.25 0.45 0.05 0.40346985 0.65669869 -0.34330131
7 0.25 0.5 0.05 0.3672439 0.64328145 -0.35671855
7 0.25 0.55 0.05 0.33798095 0.63231123 -0.36768877
7 0.25 0.6 0.05 0.31393553 0.623215 -0.376785
7 0.25 0.65 0.05 0.29389887 0.61558241 -0.38441759
7 0.25 0.7 0.05 0.27700727 0.60911274 -0.39088726
7 0.25 0.75 0.05 0.26262708 0.60358099 -0.39641901
7 0.25 0.8 0.05 0.25028285 0.59881569 -0.40118431
7 0.25 0.85 0.05 0.2396108 0.594684 -0.405316
7 0.25 0.9 0.05 0.23032779 0.59108146 -0.40891854
7 0.25 0.95 0.05 0.22221016 0.58792486 -0.41207514
7 0.25 1 0.05 0.21507886 0.58514708 -0.41485292
7 0.25 1.05 0.05 0.20878882 0.58269345 -0.41730655
7 0.25 1.1 0.05 0.20322126 0.58051895 -0.41948105
7 0.25 1.15 0.05 0.198278 0.57858622 -0.42141378
7 0.25 1.2 0.05 0.19387713 0.57686395 -0.42313605
7 0.25 1.25 0.05 0.18994982 0.57532578 -0.42467422
7 0.25 1.3 0.05 0.1864378 0.57394928 -0.42605072
7 0.25 1.35 0.05 0.1832914 0.57271531 -0.42728469
7 0.25 1.4 0.05 0.18046802 0.57160742 -0.42839258
7 0.25 1.45 0.05 0.17793094 0.57061139 -0.42938861
7 0.25 1.5 0.05 0.17564834 0.56971489 -0.43028511
7 0.25 1.55 0.05 0.1735925 0.56890714 -0.43109286
7 0.25 1.6 0.05 0.1717392 0.56817872 -0.43182128
7 0.25 1.65 0.05 0.17006716 0.56752134 -0.43247866
7 0.25 1.7 0.05 0.16855763 0.5669277 -0.4330723
7 0.25 1.75 0.05 0.16719403 0.56639131 -0.43360869
 N´(d1) Gamma
d1 N(x)
#DIV/0! #DIV/0! #DIV/0!
3.49284737 0.00089478 0.0051130428108718
1.75111118 0.08610966 0.246027589596888
1.17261579 0.20059799 0.382091408087879
0.88493059 0.26968798 0.385268546220663
0.71356947 0.30927352 0.353455446428399
0.60037039 0.33315053 0.3172862224356
0.52040677 0.34841878 0.284423493118225
0.4612153 0.35868945 0.256206749720058
0.41587193 0.36589339 0.232313265363263 ln= logaritmo natural
0.38022224 0.37112253 0.212070015773863 x/S0= precio spot
0.35162249 0.37502683 0.194819130270601 rf= tasa de riesgo
0.3283102 0.37801087 0.180005176401077 σ = Volatilidad
0.30906518 0.38033639 0.167180831511278 x= precio de ejercicio/straid
0.29301588 0.38217843 0.15599119561439
0.27952316 0.38365747 0.146155226463934
0.26810765 0.38485856 0.137449485739617
0.25840279 0.38584308 0.129695151319319
0.25012346 0.38665618 0.122747993354164
0.2430446 0.38733169 0.11649073399364
0.23698612 0.38789533 0.110827237193107
0.23180226 0.38836694 0.105678077704972
0.22737374 0.388762 0.100977143350055
0.22360206 0.38909277 0.0966690118391237
0.2204051 0.38936902 0.0927069105024602
0.21771389 0.38959864 0.0890511172524154
0.21547009 0.38978802 0.0856676978021011
0.21362398 0.38994244 0.0825275009926021
0.21213294 0.39006623 0.0796053537054061
0.21096025 0.39016301 0.0768794112400046
0.21007408 0.39023581 0.0743306296617157
0.20944669 0.39028716 0.0719423345101722
0.20905382 0.39031925 0.069699866149437
0.20887416 0.3903339 0.0675902864709411
0.20888889 0.3903327 0.0656021350152535
0.20908135 0.390317 0.0637252251364487
 K
E 5
theta call theta put
S0 X t Volatilidad rf N(d1) N(d1)-1 d1
7 0 0.35 0.05 0.5 -0.5 0
7 0.1 0.35 0.05 0.62326107 -0.37673893 0.31405685
7 0.2 0.35 0.05 0.67665253 -0.32334747 0.45835846
7 0.3 0.35 0.05 0.71863184 -0.28136816 0.57878193
7 0.4 0.35 0.05 0.75440673 -0.24559327 0.68842285
7 0.5 0.35 0.05 0.78586515 -0.21413485 0.79215604
7 0.6 0.35 0.05 0.81390658 -0.18609342 0.89238458
7 0.7 0.35 0.05 0.83903006 -0.16096994 0.99047934
7 0.8 0.35 0.05 0.86154721 -0.13845279 1.08729696
7 0.9 0.35 0.05 0.88167609 -0.11832391 1.18340716
7 1 0.35 0.05 0.89958781 -0.10041219 1.27920639
7 1.1 0.35 0.05 0.9154312 -0.0845688 1.37498012
7 1.2 0.35 0.05 0.92934625 -0.07065375 1.4709394
7 1.3 0.35 0.05 0.94147111 -0.05852889 1.56724356
7 1.4 0.35 0.05 0.95194527 -0.04805473 1.66401487
7 1.5 0.35 0.05 0.96091028 -0.03908972 1.76134842
7 1.6 0.35 0.05 0.96850903 -0.03149097 1.85931893
7 1.7 0.35 0.05 0.97488415 -0.02511585 1.95798558
7 1.8 0.35 0.05 0.9801759 -0.0198241 2.05739555
7 1.9 0.35 0.05 0.98452001 -0.01547999 2.15758658
7 2 0.35 0.05 0.98804552 -0.01195448 2.25858891
7 2.1 0.35 0.05 0.99087304 -0.00912696 2.36042681
7 2.2 0.35 0.05 0.9931133 -0.0068867 2.4631197
7 2.3 0.35 0.05 0.99486618 -0.00513382 2.56668304
7 2.4 0.35 0.05 0.99622017 -0.00377983 2.67112905
7 2.5 0.35 0.05 0.99725234 -0.00274766 2.7764673
7 2.6 0.35 0.05 0.99802862 -0.00197138 2.88270511
7 2.7 0.35 0.05 0.99860442 -0.00139558 2.98984798
7 2.8 0.35 0.05 0.99902551 -0.00097449 3.09789982
7 2.9 0.35 0.05 0.99932905 -0.00067095 3.20686328
7 3 0.35 0.05 0.99954463 -0.00045537 3.3167399
7 3.1 0.35 0.05 0.99969545 -0.00030455 3.42753029
7 3.2 0.35 0.05 0.99979936 -0.00020064 3.53923427
7 3.3 0.35 0.05 0.99986982 -0.00013018 3.65185101
7 3.4 0.35 0.05 0.99991685 -8.3148E-05 3.76537911
7 3.5 0.35 0.05 0.99994773 -5.2268E-05 3.87981668
N´(d1) Gamma
N(x)
0.39894228 #DIV/0!
0.37974535 0.490147033814851
0.35916091 0.327799269631763
0.33741799 0.251444141649359
0.31477363 0.203143184910217
0.29150616 0.168266109881959
0.26790746 0.141170223027112
0.24427438 0.119168865961538
0.22089984 0.100805523701529
0.19806406 0.0852154473794101
0.1760261 0.071847385723834
0.1550165 0.060327524996945
0.13523113 0.0503871700533535
0.11682657 0.0418219114501289
0.09991742 0.0344676036683041
0.08457533 0.0281859053004972
0.07083005 0.0228555384629636
0.05867202 0.0183670964115272
0.04805655 0.0146200979978408
0.03890905 0.0115214654947008
0.03113102 0.0089848803351256
0.02460647 0.0069306436263044
0.0192082 0.0052857827549419
0.01480383 0.003984226750075
0.01126107 0.0029669341316159
0.00845224 0.0021819042744002
0.00625776 0.0015840401019328
0.00456867 0.0011348578211466
0.00328815 0.0008020593767406
0.00233224 0.0005589961408876
0.00162976 0.0003840589523166
0.00112169 0.0002600310379506
0.00076012 0.0001734377911
0.00050703 0.0001139220982058
0.0003328 7.3667106189481E-05
0.00021488 4.6881061534212E-05
 K
(straid) E 5

S0 X t Volatilidad rf N(d1) N(d1)-1 d1

7 0 0.35 0.05 0.5 -0.5 0
7 0.1 0.35 0.05 0.62326107 -0.37673893 0.31405685
7 0.2 0.35 0.05 0.67665253 -0.32334747 0.45835846
7 0.3 0.35 0.05 0.71863184 -0.28136816 0.57878193
7 0.4 0.35 0.05 0.75440673 -0.24559327 0.68842285
7 0.5 0.35 0.05 0.78586515 -0.21413485 0.79215604
7 0.6 0.35 0.05 0.81390658 -0.18609342 0.89238458
7 0.7 0.35 0.05 0.83903006 -0.16096994 0.99047934
7 0.8 0.35 0.05 0.86154721 -0.13845279 1.08729696
7 0.9 0.35 0.05 0.88167609 -0.11832391 1.18340716
7 1 0.35 0.05 0.89958781 -0.10041219 1.27920639
7 1.1 0.35 0.05 0.9154312 -0.0845688 1.37498012
7 1.2 0.35 0.05 0.92934625 -0.07065375 1.4709394
7 1.3 0.35 0.05 0.94147111 -0.05852889 1.56724356
7 1.4 0.35 0.05 0.95194527 -0.04805473 1.66401487
7 1.5 0.35 0.05 0.96091028 -0.03908972 1.76134842
7 1.6 0.35 0.05 0.96850903 -0.03149097 1.85931893
7 1.7 0.35 0.05 0.97488415 -0.02511585 1.95798558
7 1.8 0.35 0.05 0.9801759 -0.0198241 2.05739555
7 1.9 0.35 0.05 0.98452001 -0.01547999 2.15758658
7 2 0.35 0.05 0.98804552 -0.01195448 2.25858891
7 2.1 0.35 0.05 0.99087304 -0.00912696 2.36042681
7 2.2 0.35 0.05 0.9931133 -0.0068867 2.4631197
7 2.3 0.35 0.05 0.99486618 -0.00513382 2.56668304
7 2.4 0.35 0.05 0.99622017 -0.00377983 2.67112905
7 2.5 0.35 0.05 0.99725234 -0.00274766 2.7764673
7 2.6 0.35 0.05 0.99802862 -0.00197138 2.88270511
7 2.7 0.35 0.05 0.99860442 -0.00139558 2.98984798
7 2.8 0.35 0.05 0.99902551 -0.00097449 3.09789982
7 2.9 0.35 0.05 0.99932905 -0.00067095 3.20686328
7 3 0.35 0.05 0.99954463 -0.00045537 3.3167399
7 3.1 0.35 0.05 0.99969545 -0.00030455 3.42753029
7 3.2 0.35 0.05 0.99979936 -0.00020064 3.53923427
7 3.3 0.35 0.05 0.99986982 -0.00013018 3.65185101
7 3.4 0.35 0.05 0.99991685 -8.3148E-05 3.76537911
7 3.5 0.35 0.05 0.99994773 -5.2268E-05 3.87981668
 N´(d1) RHO Call RHO Put
d2 N(x)
0 0.39894228 0 0
0.20337713 0.37974535 0 0
0.3018337 0.35916091 #VALUE! #VALUE!
0.38707903 0.33741799 0 0
0.46706342 0.31477363 0.0266524937757639 -0.01255545
0.54466867 0.29150616 0.0689553169943263 -0.02857567
0.62127574 0.26790746 0.128004057013173 -0.04667614
0.69764833 0.24427438 0.204751220597689 -0.0656183
0.77424745 0.22089984 0.299999877789792 -0.0843159
0.85136801 0.19806406 0.41439380146324 -0.10184484
0.92920639 0.1760261 0.54840873517326 -0.11745186
1.00789702 0.1550165 0.702347144191455 -0.13055979
1.08753361 0.13523113 0.876337732737589 -0.14076796
1.16818216 0.11682657 1.0703403454209 -0.14784736
1.24988929 0.09991742 1.28415636235797 -0.15173012
1.33268771 0.08457533 1.51744426570806 -0.15249401
1.41660005 0.07083005 1.76973968282703 -0.15034232
1.50164141 0.05867202 2.04047890428711 -0.14558033
1.58782128 0.04805655 2.32902464804392 -0.13858955
1.67514487 0.03890905 2.63469270825727 -0.12980101
1.76361416 0.03113102 2.95677809790105 -0.11966912
1.85322862 0.02460647 3.29457936973119 -0.10864733
1.9439858 0.0192082 3.64741997274152 -0.09716671
2.03588176 0.01480383 4.01466575431242 -0.08561851
2.12891139 0.01126107 4.39573802772255 -0.07434097
2.22306871 0.00845224 4.79012196139204 -0.063611
2.31834707 0.00625776 5.19737037915421 -0.0536403
2.41473929 0.00456867 5.61710336061399 -0.04457575
2.5122378 0.00328815 6.04900427268396 -0.03650338
2.61083476 0.00233224 6.49281303052871 -0.02945506
2.71052212 0.00162976 6.94831747017112 -0.02341714
2.8112917 0.00112169 7.41534371697554 -0.01834002
2.91313524 0.00076012 7.89374636359223 -0.014148
3.01604444 0.00050703 8.38339914373583 -0.01074853
3.12001099 0.0003328 8.88418662436968 -0.00804054
3.22502664 0.00021488 9.3959972596373 -0.00592137
 THETA VEGA

THETA CALL Y PUT VEGA

0 1.6
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35
-0.2 1.4
-0.4 1.2
-0.6 1
-0.8 0.8
-1 0.6
-1.2 0.4
-1.4 0.2
-1.6 0
1 4 7 10 13 16 19 22 25 28 31 34
Column L Column M

GAMMA RHO

GAMMA RHO CALL

0.45 10
0.4 9
0.35 8

0.3 7
6
0.25
5
0.2
4
0.15
3
0.1
2
0.05 1
0 0
0 5 10 15 20 25 30 35 40 0 5 10 15 20 25 30 35

GAMMA 1 RHO PUT

0.6 0
0 5 10 15 20 25 30 35
-0.02
0.5
-0.04
0.4 -0.06

0.3 -0.08
-0.1
0.2
-0.12
0.1 -0.14

0 -0.16
0 5 10 15 20 25 30 35 40
-0.18
-0.14
-0.16
-0.18
 VEGA

VEGA

16 19 22 25 28 31 34

RHO

RHO CALL

15 20 25 30 35 40

RHO PUT
15 20 25 30 35 40