american - pricing 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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pricing Page 1 American Option Put Current price $50.00 Exercise price $50.00 r 0.1 Sensitivity Analysis sigma 0.4 t 0.42 Volatility 4.49 Ex Price 4.49 r 4.49 deltat 0.08 0.1 0.68 $45.00 2.14 0.01 5.3 u 1.12 0.2 1.92 $46.00 2.61 0.02 5.21 d 0.89 0.3 3.2 $47.00 3.08 0.03 5.11 a 1.01 0.4 4.49 $48.00 3.55 0.04 5.02 p 0.51 0.5 5.8 $49.00 4.02 0.05 4.93 q 0.49 0.6 7.1 $50.00 4.49 0.06 4.84 Time 0.7 8.4 $51.00 4.98 0.07 4.75 Stock Prices 0 1 2 3 4 5 $52.00 5.48 0.08 4.66 0 $50.00 $56.12 $62.99 $70.70 $79.35 $89.07 $53.00 5.99 0.09 4.58 1 $44.55 $50.00 $56.12 $62.99 $70.70 $54.00 6.52 0.1 4.49 2 - $39.69 $44.55 $50.00 $56.12 $55.00 7.09 0.11 4.41 3 - - $35.36 $39.69 $44.55 $56.00 7.73 0.12 4.33 4 - - - $31.50 $35.36 5 - - - - $28.07 Down Moves Put Value 0 1 2 3 4 5 0 $4.49 $2.16 $0.64 $- $- $- 1 - $6.96 $3.77 $1.30 $- $- 2 - - $10.36 $6.38 $2.66 $- 3 - - - $14.64 $10.31 $5.45 4 - - - - $18.50 $14.64 5 - - - - - $21.93 A B C D E F G H I J K L M N O 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
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american - pricing 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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