Name of QuantLet: SFEultima

Published in: Statistics of Financial Markets

Description: Plots the Ultima of a call option (Ultima or DvommaDvol) as a function of the time to maturity and the asset price. Ultima is divided by 1,000,000 to reflect a one-percentage point change in volatility.

Keywords: asset, black-scholes, call, european-option, financial, graphical representation, greeks, option, option-price, plot

Author: Andreas Golle, Awdesch Melzer

Submitted: Tue, July 14 2015 by quantomas

Example: User inputs [lower, upper] bound of asset price S like [50,150], [lower, upper] bound of time to maturity tau like [0.05, 1], then the plot of the Ultima of a call option is given.