3 September 2021  12:04:53.734 PM
 
black_scholes_test():
  FORTRAN90 version
  Test black_scholes().
 
asset_path_test():
  asset_path() demonstrates the simulated of an asset price path.
 
  The asset price at time 0      S0    =    2.00000    
  The asset expected growth rate MU    =   0.100000    
  The asset volatility           SIGMA =   0.300000    
  The expiry date                T1    =    1.00000    
  The number of time steps       N     =    100
 
  Partial results:
 
         1:    2.00000    
         2:    1.95493    
         3:    2.01918    
         4:    2.00323    
         5:    1.99668    
         6:    1.89867    
         7:    1.88769    
         8:    1.86686    
  ........  ..............
       101:    1.50418    
 
  Created graphics data file "asset_path_data.txt".
  Created command file "asset_path_commands.txt".
 
binomial_test():
  binomial() demonstrates the binomial method
  for option valuation.
 
  The asset price at time 0 S0    =    2.00000    
  The exercise price        E     =    1.00000    
  The interest rate         R     =   0.500000E-01
  The asset volatility      SIGMA =   0.250000    
  The expiry date           T1    =    3.00000    
  The number of intervals   M     =      256
 
  The option value is    1.14476    

bsf_test():
  bsf() demonstrates the Black-Scholes formula
  for option valuation.
 
  The asset price at time T0 S0    =    2.00000    
  The time                   T0    =    0.00000    
  The exercise price         E     =    1.00000    
  The interest rate          R     =   0.500000E-01
  The asset volatility       SIGMA =   0.250000    
  The expiry date            T1    =    3.00000    
 
  The option value C =    1.14474    
 
forward_test():
  forward() demonstrates the forward difference method
  for option valuation.
 
  The exercise price        E =        4.00000    
  The interest rate         R =       0.300000E-01
  The asset volatility      SIGMA =   0.500000    
  The expiry date           T1 =       1.00000    
  The number of space steps NX =          11
  The number of time steps  NT =          29
  The value of              SMAX =     10.0000    
 
  Initial   Option
  Value     Value
 
     1.00000        0.139363E-02
     2.00000        0.373367E-01
     3.00000        0.223638    
     4.00000        0.627210    
     5.00000         1.20992    
     6.00000         1.91439    
     7.00000         2.69543    
     8.00000         3.52261    
     9.00000         4.37638    
     10.0000         5.24428    
 
mc_test():
  mc() demonstrates the Monte Carlo method
  for option valuation.
 
  The asset price at time 0, S0    =    2.00000    
  The exercise price         E     =    1.00000    
  The interest rate          R     =   0.500000E-01
  The asset volatility       SIGMA =   0.250000    
  The expiry date            T1    =    3.00000    
  The number of simulations  M     =  1000000
 
  The confidence interval is [   1.14174    ,   1.14527    ].
 
black_scholes_test():
  Normal end of execution.
 
 3 September 2021  12:04:53.813 PM