5-Stick Distribution Model
Descriptions
- Enter the spot price, time to expiry, interest rates, carry benefits and volatility of the underlying.
- The market parameters are then translated into a simplified expiry distribution.
- Input the strike price and type of the European option you want to value.
- The calculator displays the expiry values of the option at the 5 expiry spot prices.
- The calculator uses the simplified distribution to determine the value of the option today
1. Market parameters
Years
%
%
%
2. Simplified spot price distribution at expiry
Theoretical Value Calculator
| 3. Option parameters | 4. Expiry values at specific spot prices | 5. Option value | ||||||
|---|---|---|---|---|---|---|---|---|
| Strike | Type | 63.00 | 84.00 | 105.00 | 126.00 | 147.00 | ||
Who we are
NoscoPartners is a Swiss based company with international finance experience, servicing banks, asset managers and institutional investors. We combine financial expertise with business experience and applied training skills to deliver practical financial market education programs.
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