Fj | in $ | 100 | 99.5 | 99 | 98.5 | 98 | 97.5 | ||
| in $ | 1.149 | 1.403 | 1.688 | 2.004 | 2.348 | 2.718 | ||
| in $ | 1.562 | 1.8 | 2.059 | 2.34 | 2.642 | 2.963 | ||
Matrix 1: EPVi, Extendible put value in $, with i: 1, 2, ∙∙∙, 5 | I2 | I1 | |||||||
a) EPV1 | 1.396 | 1.644 | 1.919 | 2.219 | 2.542 | 2.889 | I2 = 97.631239 | I1 = 103.003982 | |
b) EPV2 | 1.648 | 1.887 | 2.149 | 2.432 | 2.737 | 3.063 | I2 = 96.817322 | I1 = 104.992807 | |
c) EPV3 | 1.939 | 2.075 | 2.326 | 2.596 | 2.886 | 3.196 | I2 = 96.450205 | I1 =106.609386 | |
d) EPV4 | 1.996 | 2.219 | 2.46 | 2.719 | 2.997 | 3.296 | I2 = 96.272026 | I1 = 108.010883 | |
e) EPV5 | 2.114 | 2.329 | 2.562 | 2.812 | 3.081 | 3.369 | I2 = 96.192438 | I1 = 109.263586 | |
Matrix 2: EPi, Extension premium, with i: 1, 2, ∙∙∙, 5 | |||||||||
a) EP1 in $ | 0.249 | 0.241 | 0.23 | 0.216 | 0.194 | 0.171 | |||
in % | 17.64 | 14.66 | 12.01 | 9.74 | 7.62 | 5.93 | |||
b)EP2 in $ | 0.498 | 0.484 | 0.461 | 0.428 | 0.389 | 0.345 | |||
in % | 30.21 | 25.66 | 21.45 | 17.62 | 14.21 | 11.26 | |||
c) EP3 in $ | 0.789 | 0.672 | 0.637 | 0.592 | 0.538 | 0.477 | |||
in % | 40.69 | 32.39 | 27.41 | 22.8 | 18.63 | 14.94 | |||
d)EP4 in $ | 0.847 | 0.816 | 0.772 | 0.715 | 0.649 | 0.577 | |||
in % | 42.4 | 36.78 | 31.38 | 26.31 | 21.67 | 17.51 | |||
e) EP5 in $ | 0.964 | 0.927 | 0.874 | 0.808 | 0.733 | 0.651 | |||
in % | 45.61 | 39.78 | 34.12 | 28.75 | 23.8 | 19.33 |