6116 - 17.15 - Binomial trees - FINAL - Excel sheet for Binomial Model option pricing u 1.1 d 0.95 S 20 r 0.08 q t 0.75 1-q t 0.25 Payof w 5 x 4 y 2 z 0

6116 - 17.15 - Binomial trees - FINAL - Excel sheet for...

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Excel sheet for Binomial Model option pricing u 1.1 d 0.95 S 20 r 0.08 q 0.75 t 0.75 1-q 0.25 Δt 0.25 Payof w 5 x 4 y 2 z 0 22 3.138 20 2.454 19 1.047 t = 0 t = 3 months
26.62 w = $5 24.2 3.990 22.99 y =$2 20.9 1.404 19.86 z = $0 18.05 0.000 17.15 z =$0 t = 6 months t = 9 months
Binomial model excel sheet u 1.1 d 0.91 r 0.102 Δt 0.25 t 0.0625 Multifactor r 1.00639536

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• Fall '10
• Bart Vinck
• Options, Real options analysis, Mathematical finance, Mark Rubinstein

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