C is the real option value for a single stage project.

Job performance came down to a numerical formula involving stock prices and option values, both of which the executive could influence.

The main observations that lie behind the model for deriving the real option value are the following:

I also agree with the idea that option values should vary with the price of the stock.

The risk neutral approach infers expected option value from the intrinsic values at the later two nodes.

The option value will never be lower than its IV.

Time value is, as above, the difference between option value and intrinsic value, i.e.

The exchange has calculated, using historical prices, that the option value will not exceed 17 the next day, with 99% certainty.

Color is a third-order derivative of the option value, twice to underlying asset price and once to time.

Ultima is a third-order derivative of the option value to volatility.