Table 12.6Terminal Value of a Written Call Option (S
X
= INR 260)
Terminal Stock Price (
S
T
) (INR)Option Value Min (
S
X
–
S
T
, 0) (INR)
2300
2500
2700
2900
3000
310–10
330–30
350–50
370–70
–
80
–
70
–
60
–
50
–
40
–
30
–
20
–
10
0
230
Stock Price at Maturity
Terminal Value of a Written Call
250270290310330350370
Figure 12.5Terminal Value of a Written Call
In Table 12.6, the option value is zero when the stock price is less than the exercise price, because the
option buyer would not exercise the option. When the stock price is above the exercise price, the option
buyer will exercise the option and hence the value of the ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month, and much more.