Options Project I Spr 08

Options Project I Spr 08 - Prob#1 Page 1 A B C D E 1 2 3...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
Prob#1 Page 1 Binomial Lattice for an American Call Option X= 18 S= 20 σ= 0.4 T= 1 t= 0 n= 4 DeltaT 0.25 r= 0.15 =(1+r)^((T-t)/n) R= 1.036 u= 1.2214 d= 0.8187 p = 0.5385 (1-p) = 0.4615 Stock Prices n=0 n=1 n=2 n=3 n=4 44.51 36.44 29.84 29.84 24.43 24.43 20 20.00 20.00 16.37 16.37 13.41 13.41 10.98 8.99 Option Prices n=0 n=1 n=2 n=3 n=4 0.000 0.000 0.000 0.000 0.407 0.000 1.335 0.912 0.000 2.522 2.047 4.594 4.594 7.024 9.013 A B C D E F G H I 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Prob#2 Page 2 Part A S 30 u= 1.090 X 34 d= 0.917 r 0.10 p= 0.52 R 1.01 (1-p)= 0.48 std dev 0.30 N 6 T 0.5 Delta_t 0.08 Stock Prices n=0 n=1 n=2 n=3 n=4 n=5 n=6 50.44 46.26 42.42 42.42 38.90 38.90 35.67 35.67 35.67 32.71 32.71 32.71 30 30.00 30.00 30.00 27.51 27.51 27.51 25.23 25.23 25.23 23.14 23.14 21.22 21.22 19.46 17.84 Option Prices n=0 n=1 n=2 n=3 n=4 n=5 n=6 16.44 12.53 8.96 8.42 6.12 5.17 4.05 3.10 1.67 2.61 1.83 0.87 1.64 1.06 0.45 0.00 0.61 0.24 0.00 0.12 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z AA 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47
Background image of page 2
Prob#2 Page 3 Number Number PV of Terminal of "Up" "Down" payoffs Number Value=Payoff*PV* Payoff Steps Stepssing q's** of Paths Number of Paths 16.44 6 0 0.0198 1 0.3258 8.42 5 1 0.0180 6 0.9081 1.67 4 2 0.0163 15 0.4093 0.00 3 3 0.0148 20 0.0000 0.00 2 4 0.0134 15 0.0000 0.00 1 5 0.0122 6 0.0000 0.00 0 6 0.0110 1
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 4
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 06/04/2008 for the course FIN 3500 taught by Professor Cook during the Spring '08 term at Denver.

Page1 / 11

Options Project I Spr 08 - Prob#1 Page 1 A B C D E 1 2 3...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online