Folks,
Herewith I have given below the link for Batch VII - Day 4 (Morning) - Presentation made in Fast Track Webinar Series for IBBI Valuation Exam (SFA) on "OPTION VALUATION"
Option Valuation : (7 Marks)
- Option valuation: General principles
- Option valuation models: Black and Scholes; Black and Scholes Merton option pricing method; Binomial tree method; Monte Carlo simulation
- Valuation of other financial assets and liabilities: concept of financial and non-financial assets and liabilities; valuation of other instruments like financial guarantees and warranties
- This chapter carries 4 to 6 marks in IBBI Valuation Exam
- Options Basics
- Factors influencing Option Valuation and on its changes, its impact in Call & Put Valuation
- Binomial Model; BSM Model
- After investing substantial amount of time and Himalayan size of Efforts, Research & Pain; this material is brought out.
- Your acknowledgement (with your name, location & contact no) in this blog by few words will be an encouragement for this Hard Work
Dr GKR Presentation Link
Dr GKR worksheet Link
Reference 1: Page 78 – Valuation of Options | Technical Guide on Valuation | ICAI
Reference 2: Page 122 – Overview on Valuation of Options| Professionals Insight | ICAI
https://resource.cdn.icai.org/51396vsb41086.pdf
https://resource.cdn.icai.org/51396vsb41086.pdf
Kindly post your comments, suggestions, queries & review of the webinar session below this post. Happy Reading | Please contact Dr S Dhanapal (96770 22712) for being part of FT7 WhatsApp group.
Dr GKR
19th July 2020 (Morning)
Sunday
It was a wonderful session. praise your knowledge and spirit Sir.
ReplyDeleteThank you for your Valuable time and efforts, it was a wonderful session....
ReplyDeleteRasik Singhania, Kolkata
Sir the effort is visible. Put and call option i will remember easly now.
ReplyDeleteThank you for the Valuable study material
ReplyDeleteSir, So glad of you for sparing your valuable time for us.
ReplyDeleteThanku for clarifying put & call option as it was very confusing. Thanku for the explanation, presentation and your valuable time and effort.
ReplyDeleteWonderfully explained a complex subject.
ReplyDeleteThanks a lot sir for your deliberation on options. i got cleared many doubts after your deliberation.
ReplyDeleteThank you for giving a crystal clear understanding of the various conception in Option Valuation. Regards, Santhosh Kumar
ReplyDeleteThanks so much Sir for utmost clarity on option valuation. Great explanation and we understood it easily. Excellent presentation Dr GKR Sir.
ReplyDeleteThanks a lot sir for your unconditional support from your side. It not only helped me in understanding concepts but also helped in gaining confidence for exam. God bless you!!!!
ReplyDeleteRegards,
Dibakar Dutta
New Delhi
The sessions were very informative... Like a capsule. You have done a wonderful job sir .thank u so much
ReplyDeleteThe sessions were very informative... Like a capsule. You have done a wonderful job sir .thank u so much
ReplyDeleteThanks Sir for such a wonderful series of sessions and material. Hopefully to get a change to meet in person and extend my gratitude.
ReplyDeleteRegards
Dibakar Dutta
New Delhi
Excellent Faculty,rightly delivered valuation course in 6 session by valuable inputs very needed information.
ReplyDeleteThanks for the great session Sir.
ReplyDeleteAnswers for the questions you left for us to exercise:
Q40:
a)Value of the European Put= 13.75
Q41:
Q41 VALUE OF CALL OPTION USING BIONOMIAL
X Y
S 100 100
E 110 95
r 8.00% 7.50%
R I.e 1+r 1.08 1.075
PERIOD 1 1
U 0.25 0.2
D 0.2 0.25
uS 125 120
uD 80 75
CU 15 25
CD 0 0
DELTA 3.00 -5.00
DELTA*S 300 -500
B -55.56 116.28
VALUE 303 -505
Q42
Q42 VALUE OF PUT OPTION USING BIONOMIAL
X Y
S 100 100
E 110 95
r 8.00% 7.50%
R I.e 1+r 1.08 1.075
PERIOD 1 1
U 0.25 0.2
D 0.2 0.25
uS 125 120
uD 80 75
PU 0 0
PD 30 20
DELTA 6.00 -4.00
DELTA*S 600 -400
L 138.89 -74.42
VALUE -461.11 325.58
Sir, do let me know if the answers are correct.
ReplyDeleteQ41 Value of Call Option of Bond X=303 & Bond Y= -505
Q42 Value of Put Option of Bond X= -461 & Bond Y=326