Input interpretation
collar option
Input values
option name | European call strike price | $55 (US dollars) put strike price | $45 (US dollars) time to expiration | 3 months underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.12%
Payout profile at expiration
Payout profile at expiration
Option attributes
value | delta | gamma | vega | theta | rho $49.91 | 0.684 | -0.008 | -0.942 | 0.239 | -3.914
Plots as a function of risk-free interest rate
Plots as a function of risk-free interest rate
Time evolution of rho
Time evolution of rho