|------------------------------------------------------------------------------------------------------------------------------------|
---- HESTON 1993 TRANSFORM ----
|------------------------------------------------------------------------------------------------------------------------------------|
| ATM/TTE => 00.50 01.00 02.00 03.00 04.00 05.00 07.00 10.00 12.00 15.00 20.00 25.00 30.00 |
|------------------------------------------------------------------------------------------------------------------------------------|
| 00.80 => 0.1986 0.2208 0.2649 0.3090 0.3541 0.4010 0.5035 0.6906 0.8475 1.1519 1.9387 3.3094 5.7092 |
| 00.90 => 0.1310 0.1585 0.2067 0.2523 0.2976 0.3441 0.4445 0.6259 0.7775 1.0710 1.8306 3.1576 5.4879 |
| 01.00 => 0.0784 0.1079 0.1576 0.2032 0.2481 0.2938 0.3917 0.5676 0.7141 0.9978 1.7326 3.0198 5.2872 |
| 01.10 => 0.0388 0.0675 0.1161 0.1608 0.2046 0.2492 0.3443 0.5147 0.6565 0.9309 1.6429 2.8936 5.1035 |
| 01.20 => 0.0103 0.0357 0.0812 0.1240 0.1663 0.2093 0.3015 0.4664 0.6036 0.8694 1.5603 2.7774 4.9341 |
|------------------------------------------------------------------------------------------------------------------------------------|
|------------------------------------------------------------------------------------------------------------------------------------|
---- ALBRECHER, MAYER, SCHOUTENS, TISTAERT 2007 TRANSFORM ----
|------------------------------------------------------------------------------------------------------------------------------------|
| ATM/TTE => 00.50 01.00 02.00 03.00 04.00 05.00 07.00 10.00 12.00 15.00 20.00 25.00 30.00 |
|------------------------------------------------------------------------------------------------------------------------------------|
| 00.80 => 0.1986 0.2208 0.2649 0.3090 0.3541 0.4010 0.5035 0.6906 0.8475 1.1519 1.9387 3.3094 5.7092 |
| 00.90 => 0.1310 0.1585 0.2067 0.2523 0.2976 0.3441 0.4445 0.6259 0.7775 1.0710 1.8306 3.1576 5.4879 |
| 01.00 => 0.0784 0.1079 0.1576 0.2032 0.2481 0.2938 0.3917 0.5676 0.7141 0.9978 1.7326 3.0198 5.2872 |
| 01.10 => 0.0388 0.0675 0.1161 0.1608 0.2046 0.2492 0.3443 0.5147 0.6565 0.9309 1.6429 2.8936 5.1035 |
| 01.20 => 0.0103 0.0357 0.0812 0.1240 0.1663 0.2093 0.3015 0.4664 0.6036 0.8694 1.5603 2.7774 4.9341 |
|------------------------------------------------------------------------------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 12M 24M 36M 48M 60M |
|------------------------------------------------------------|
| 0.80 => 24.29% 29.47% 34.49% 39.61% 44.94% |
| 0.90 => 18.24% 23.70% 28.81% 33.93% 39.21% |
| 1.00 => 13.21% 18.76% 23.85% 28.91% 34.11% |
| 1.10 => 09.06% 14.51% 19.50% 24.46% 29.54% |
| 1.20 => 05.66% 10.86% 15.69% 20.50% 25.44% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.70 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.85 => 21.18% 25.20% 31.59% 38.02% 42.03% |
| 1.00 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.15 => 07.30% 11.33% 17.55% 23.68% 27.45% |
| 1.30 => 05.66% 09.58% 15.69% 21.71% 25.44% |
| 1.50 => 05.66% 09.58% 15.69% 21.71% 25.44% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 12M 24M 36M 48M 60M |
|------------------------------------------------------------|
| 0.80 => 24.29% 29.47% 34.49% 39.61% 44.94% |
| 0.90 => 18.24% 23.70% 28.81% 33.93% 39.21% |
| 1.00 => 13.21% 18.76% 23.85% 28.91% 34.11% |
| 1.10 => 09.06% 14.51% 19.50% 24.46% 29.54% |
| 1.20 => 05.66% 10.86% 15.69% 20.50% 25.44% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 24.29% 28.17% 34.49% 40.92% 44.94% |
| 0.70 => 24.29% 28.17% 34.49% 40.92% 44.94% |
| 0.85 => 21.19% 25.20% 31.60% 38.03% 42.03% |
| 1.00 => 13.21% 17.39% 23.85% 30.19% 34.11% |
| 1.15 => 07.31% 11.32% 17.56% 23.68% 27.46% |
| 1.30 => 05.66% 09.57% 15.69% 21.72% 25.44% |
| 1.50 => 05.66% 09.57% 15.69% 21.72% 25.44% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 12M 24M 36M 48M 60M |
|------------------------------------------------------------|
| 0.80 => 30.68% 33.23% 35.79% 38.68% 41.98% |
| 0.90 => 32.05% 32.71% 34.43% 36.70% 39.41% |
| 1.00 => 32.17% 32.08% 33.32% 35.16% 37.45% |
| 1.10 => 31.44% 31.26% 32.28% 33.86% 35.85% |
| 1.20 => 29.87% 30.20% 31.22% 32.66% 34.47% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 30.68% 32.59% 35.79% 39.47% 41.98% |
| 0.70 => 30.68% 32.59% 35.79% 39.47% 41.98% |
| 0.85 => 31.47% 32.55% 35.09% 38.36% 40.64% |
| 1.00 => 32.17% 32.00% 33.32% 35.70% 37.45% |
| 1.15 => 30.72% 30.67% 31.75% 33.70% 35.15% |
| 1.30 => 29.87% 30.06% 31.22% 33.09% 34.47% |
| 1.50 => 29.87% 30.06% 31.22% 33.09% 34.47% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 12M 24M 36M 48M 60M |
|------------------------------------------------------------|
| 0.80 => 30.68% 33.23% 35.79% 38.68% 41.98% |
| 0.90 => 32.05% 32.71% 34.43% 36.70% 39.41% |
| 1.00 => 32.17% 32.08% 33.32% 35.16% 37.45% |
| 1.10 => 31.44% 31.26% 32.28% 33.86% 35.85% |
| 1.20 => 29.87% 30.20% 31.22% 32.66% 34.47% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 30.68% 32.58% 35.79% 39.48% 41.98% |
| 0.70 => 30.68% 32.58% 35.79% 39.48% 41.98% |
| 0.85 => 31.46% 32.56% 35.09% 38.38% 40.65% |
| 1.00 => 32.17% 32.02% 33.32% 35.71% 37.45% |
| 1.15 => 30.72% 30.68% 31.75% 33.70% 35.15% |
| 1.30 => 29.87% 30.08% 31.22% 33.09% 34.47% |
| 1.50 => 29.87% 30.08% 31.22% 33.09% 34.47% |
|------------------------------------------------------------|
|---------------------------|
| Prob 1 Comparison |
|---------------------------|
| TTE = HSTN | AMST |
|---------------------------|
| 00.50 = 0.5487 | 0.5487 |
| 01.00 = 0.5585 | 0.5585 |
| 02.00 = 0.5778 | 0.5778 |
| 03.00 = 0.5996 | 0.5996 |
| 04.00 = 0.6245 | 0.6245 |
| 05.00 = 0.6529 | 0.6529 |
| 07.00 = 0.7215 | 0.7215 |
| 10.00 = 0.8615 | 0.8615 |
| 12.00 = 0.9876 | 0.9876 |
| 15.00 = 1.2442 | 1.2442 |
| 20.00 = 1.9407 | 1.9407 |
| 25.00 = 3.1953 | 3.1953 |
| 30.00 = 5.4343 | 5.4343 |
|---------------------------|
|---------------------------|
| Prob 2 Comparison |
|---------------------------|
| TTE = HSTN | AMST |
|---------------------------|
| 00.50 = 0.4704 | 0.4704 |
| 01.00 = 0.4506 | 0.4506 |
| 02.00 = 0.4202 | 0.4202 |
| 03.00 = 0.3963 | 0.3963 |
| 04.00 = 0.3764 | 0.3764 |
| 05.00 = 0.3591 | 0.3591 |
| 07.00 = 0.3297 | 0.3297 |
| 10.00 = 0.2939 | 0.2939 |
| 12.00 = 0.2735 | 0.2735 |
| 15.00 = 0.2465 | 0.2465 |
| 20.00 = 0.2081 | 0.2081 |
| 25.00 = 0.1755 | 0.1755 |
| 30.00 = 0.1471 | 0.1471 |
|---------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:51 EST 2020
| Setup Time => Mon Jan 27 01:16:51 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
{blackscholescallvolatility=0.34035163860445744, blackscholesputvolatility=0.34035163860445805, calctime=0.055927300000000006, callcharm=NaN, callcolor=NaN, calldelta=0.56445320347952, callgamma=NaN, callprice=0.10048185859115533, callprob1=0.56445320347952, callprob2=0.4690169774552599, callrho=NaN, callspeed=NaN, calltheta=NaN, callultima=NaN, callvanna=NaN, callvega=NaN, callveta=NaN, callvomma=NaN, df=0.9892421110334401, effectivevolatility=0.19999999999999998, impliedcallvolatility=0.20000003664035218, impliedputvolatility=0.2000000366403526, putcharm=NaN, putcolor=NaN, putdelta=NaN, putgamma=NaN, putprice=0.0897239696245955, putpricefromparity=0.0897239696245955, putprob1=NaN, putprob2=NaN, putrho=NaN, putspeed=NaN, puttheta=NaN, putultima=NaN, putvanna=NaN, putvega=NaN, putveta=NaN, putvomma=NaN, tte=0.49828884325804246}