the project is based on these numbers
a put option with
Maturity : 38 days
Strike price : 590
Market price : 6.6875
S0 : 597.013694768883
R : 0.05684501 ( annualized )
Project: Sensitivity of Option Prices
Date Due online: 29 December 2015 before midnight
Date Due hard copy: 30 December 2015 during class time
Introduction:
Option prices and their sensitivity depend on many factors including stock prices and volatility. In this project you are asked to produce a replication of three figures: 1) the option price as a function of S0, 2) the option delta as a function of S0, and 3) the option Vega as a function of S0. You are also asked to analyze these graphs and understand the patterns they show.

Project Requirements

Use the data you are provided with on blackboard to replicate and interpret the following figures
• Call price as a function of the current underlying price S0 or put price as a function of the current underlying price S0 depending on the data assigned to you.
• Call delta as a function of the current underlying price S0 or put delta as a function of the current underlying price S0.

• Call Vega as a function of the current underlying price S0 or put Vega as a function of the current underlying price S0 depending on the data assigned to you.

Carefully interpret the three figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the pattern.
The online submission deadline is Tuesday December 29th midnight. You should convert your world file to pdf to be able to upload on Safe Assignment. Please make sure that all figures and interpretation are showing properly before you submit.
You are only allowed to make one submission so please make sure that you upload the right and complete file. The link for online submission will disappear from Blackboard at Tuesday December 29th midnight. Please do not upload your file in the last minute as the link may not function properly when many students upload at the same time. So upload 1 or 2 hours before the deadline.
The recommended layout of your project is suggested to be as follows:
Cover page
Table of contents
Introduction (Brief introduction of Black and Scholes model)
Figures & Analysis
Conclusion (summary of your results)
General Guidelines
1- Reserve the first page (cover page) to your name, student ID, course name, and university.
2- You should write in times new roman font, size 12, with 1.5 spaces, no bold or italic except for the section heads if you want.
3- Pages should not have frames, shades or colors or other fancy decorations, just plain pages with no folders or covers, stapled from the top left corner side.
4- Failure to submit the soft copy online or the hard copy by due date is subject to mark deduction.
5- Maximum plagiarism allowed is 15%.
am providing below the three figures for DCRB example for the call and the put so that you know the patterns you should get.
DCRB CALL FIGURES

DCRB PUT FIGURES

the project is based on these numbers
a put option with
Maturity : 38 days
Strike price : 590
Market price : 6.6875
S0 : 597.013694768883
R : 0.05684501 ( annualized )
Project: Sensitivity of Option Prices
Date Due online: 29 December 2015 before midnight
Date Due hard copy: 30 December 2015 during class time
Introduction:
Option prices and their sensitivity depend on many factors including stock prices and volatility. In this project you are asked to produce a replication of three figures: 1) the option price as a function of S0, 2) the option delta as a function of S0, and 3) the option Vega as a function of S0. You are also asked to analyze these graphs and understand the patterns they show.

Project Requirements

Use the data you are provided with on blackboard to replicate and interpret the following figures
• Call price as a function of the current underlying price S0 or put price as a function of the current underlying price S0 depending on the data assigned to you.
• Call delta as a function of the current underlying price S0 or put delta as a function of the current underlying price S0.

• Call Vega as a function of the current underlying price S0 or put Vega as a function of the current underlying price S0 depending on the data assigned to you.

Carefully interpret the three figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the pattern.
The online submission deadline is Tuesday December 29th midnight. You should convert your world file to pdf to be able to upload on Safe Assignment. Please make sure that all figures and interpretation are showing properly before you submit.
You are only allowed to make one submission so please make sure that you upload the right and complete file. The link for online submission will disappear from Blackboard at Tuesday December 29th midnight. Please do not upload your file in the last minute as the link may not function properly when many students upload at the same time. So upload 1 or 2 hours before the deadline.
The recommended layout of your project is suggested to be as follows:
Cover page
Table of contents
Introduction (Brief introduction of Black and Scholes model)
Figures & Analysis
Conclusion (summary of your results)
General Guidelines
1- Reserve the first page (cover page) to your name, student ID, course name, and university.
2- You should write in times new roman font, size 12, with 1.5 spaces, no bold or italic except for the section heads if you want.
3- Pages should not have frames, shades or colors or other fancy decorations, just plain pages with no folders or covers, stapled from the top left corner side.
4- Failure to submit the soft copy online or the hard copy by due date is subject to mark deduction.
5- Maximum plagiarism allowed is 15%.
am providing below the three figures for DCRB example for the call and the put so that you know the patterns you should get.
DCRB CALL FIGURES

DCRB PUT FIGURES