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