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Supershare

The document discusses a supershares model with parameters including time to maturity, risk free rate, volatility, asset price, upper and lower strike prices, and cost of carry. It provides results for the supershare value calculated based on these parameters and intermediate calculations.

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luca pilotti
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25 views

Supershare

The document discusses a supershares model with parameters including time to maturity, risk free rate, volatility, asset price, upper and lower strike prices, and cost of carry. It provides results for the supershare value calculated based on these parameters and intermediate calculations.

Uploaded by

luca pilotti
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Supershares

http://investexcel.net/
Hakansson (1976) model

Parameters
Time to Maturity 1.000 yrs
Risk Free Rate 5.0000%
Volatility 20.00%
Asset Price 400.000
Upper Strike 420.000
Lower Strike 380.000
Cost of Carry 3.00%

Results
Supershare 0.1974039

Intermediate Calculations
dt 0.2
WL 0.5064665
WU 0.0060492
NWL 0.6937354
NWU 0.5024133
supershare 0.1974039

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