1. Call option on stock (no dividend)
2. Index Put Option
3. Currency Option

In all the following examples we assume that today's date is 1 November 1995.

Assumption: A call option on a company that pays no dividend (or will, at least, pay no dividend up to expiry of the option). The call option expires 10 Dec 1995. The current share price is $35.50, and the strike is at $33. The risk-free interest rate is 5.7% and forecast volatility for the share price for the period up to expiry of the option is 18.9%.

The inputs to value this option would be as follows:

 Share Price:                 Strike Price:   dec /8
 Dividend Yld:                Interest Rate:  cc-int


 Maturity:      in Days Months Years
        ---------------------------------------------------
 CALCULATE:  

   theoretical option value =>enter- Volatility:      
 orimplied volatility       =>enter- Option Price:  
        ---------------------------------------------------
                      Option type:  Call  Put

Assumption: We want to compare the implied volatility calculation with a figure we have seen in a report on a 6 month index put option. The index currently stands at 3340, and the option strike is 3300. The dividend yield on the index is 2.6% and the 6 month risk-free rate is 4.85%. Index volatility is 28%.

The inputs to value this option would be as follows:

 Share Price:                 Strike Price:   dec /8
 Dividend Yld:                Interest Rate:  cc-int


 Maturity:      in Days Months Years
        ---------------------------------------------------
 CALCULATE:  

   theoretical option value =>enter- Volatility:      
 orimplied volatility       =>enter- Option Price:  
        ---------------------------------------------------
                      Option type:  Call  Put

Notes:

1. The input volatility figure of "18.9%" (left over from the previous calculation) will be ignored when calculating the implied volatility.
2. The cc-int box has been unchecked as it is suspected that the report's calculation used a simple interest rate, rather than a continously compounded rate.

Assumption: We want to calculate the theoretical value of a 2 year call option on Deutsche Marks (base currency being US$). The current exchange rate is 0.578, and the option's strike is 0.6. 2-year US interest rates are 7% and German rates are 3.4%. Exchange rate volatility is 11.9%.

The inputs to value this option would be as follows:

 Share Price:                 Strike Price:   dec /8
 Dividend Yld:                Interest Rate:  cc-int


 Maturity:      in Days Months Years
        ---------------------------------------------------
 CALCULATE:  

   theoretical option value =>enter- Volatility:      
 orimplied volatility       =>enter- Option Price:  
        ---------------------------------------------------
                      Option type:  Call  Put