Valuation results for stock volatility 1% shock
| σ+1% | Scenario | Value | Probability | Vega | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| ET1 | ET2 | ET3 | ET4 | ET5 | ET6 | NTK | KI | ||||
| MC | 10,000 | 1.006649 | 76.96% | 6.80% | 4.48% | 1.89% | 2.02% | 1.26% | 2.56% | 4.030% | −0.45 |
| 30,000 | 1.006819 | 76.75% | 7.05% | 4.64% | 2.02% | 2.04% | 1.00% | 2.49% | 4.013% | −0.39 | |
| 50,000 | 1.006849 | 76.98% | 7.00% | 4.71% | 1.93% | 2.10% | 0.91% | 2.40% | 3.982% | −0.37 | |
| 1,00,000 | 1.006230 | 76.98% | 7.14% | 4.65% | 1.98% | 1.93% | 0.94% | 2.31% | 4.075% | −0.38 | |
| 2,50,000 | 1.006396 | 76.92% | 7.11% | 4.73% | 1.92% | 1.88% | 0.97% | 2.42% | 4.056% | −0.38 | |
| 4,00,000 | 1.006264 | 76.93% | 7.17% | 4.76% | 1.92% | 1.89% | 0.92% | 2.34% | 4.071% | −0.38 | |
| Proposed | – | 1.004346 | 76.84% | 7.18% | 4.76% | 1.93% | 1.91% | 0.93% | 1.86% | 4.591% | −0.37 |
| σ+1% | Scenario | Value | Probability | Vega | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| ET1 | ET2 | ET3 | ET4 | ET5 | ET6 | NTK | KI | ||||
| MC | 10,000 | 1.006649 | 76.96% | 6.80% | 4.48% | 1.89% | 2.02% | 1.26% | 2.56% | 4.030% | −0.45 |
| 30,000 | 1.006819 | 76.75% | 7.05% | 4.64% | 2.02% | 2.04% | 1.00% | 2.49% | 4.013% | −0.39 | |
| 50,000 | 1.006849 | 76.98% | 7.00% | 4.71% | 1.93% | 2.10% | 0.91% | 2.40% | 3.982% | −0.37 | |
| 1,00,000 | 1.006230 | 76.98% | 7.14% | 4.65% | 1.98% | 1.93% | 0.94% | 2.31% | 4.075% | −0.38 | |
| 2,50,000 | 1.006396 | 76.92% | 7.11% | 4.73% | 1.92% | 1.88% | 0.97% | 2.42% | 4.056% | −0.38 | |
| 4,00,000 | 1.006264 | 76.93% | 7.17% | 4.76% | 1.92% | 1.89% | 0.92% | 2.34% | 4.071% | −0.38 | |
| Proposed | – | 1.004346 | 76.84% | 7.18% | 4.76% | 1.93% | 1.91% | 0.93% | 1.86% | 4.591% | −0.37 |
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