Research Article
Valuation of Guaranteed Maximum Price Contracts in Korea Using the Collar Option Model
Table 4
Valuables used for calculating option value.
| Variables | Estimated value |
| Underlying asset (S) | $45,150,831 | Exercise price of call option (Xc) | $51,959,689 | Exercise price of put option (Xp) | $48,506,057 | Smax | $62,074,638 | Smin | $42,934,102 | Risk-free rate (rf) | 2.349% | Time interval | 1 year | Rise rates (u) | 1.1725 | Fall rates (d) | 0.9751 | Risk-neutral probability () | 0.2449 |
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