Option

Option - 0.4 0.6 0.8 1 Call tree 60.0670 42.5358 27.9526...

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Inputs n 5 d1 0.0616 sigma 40% dt 0.2000 d2 -0.3384 r 5% PV (1 step) 0.9900 N(d1) 0.5246 45 u 1.1959 N(d2) 0.3675 K 50 d 0.8362 N(-d1) 0.4754 T 1 p 0.4833 N(-d2) 0.6325 Binomial Price Black-Scholes Price Call - European 6.2170 Call - American 6.2170 Call - European 6.1249 Put - European 2.5615 Put - American 9.1195 Put - European 8.6863 S 0
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Time 0 0.2 0.4 0.6 0.8 1 110.07 92.04 76.96 76.96 64.36 64.36 53.81 53.81 53.81 45 45 45 37.63 37.63 37.63 31.47 31.47 26.31 26.31 22 18.4 Node Call Payoff Put Payoff Weight 1 60.07 -60.07 0.03 2 26.96 -26.96 0.13 3 3.81 -3.81 0.29 4 0 12.37 0.31 5 0 23.69 0.16 6 0 31.6 0.04 Price 6.22 2.56
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Time 0 0.2 0.4 0.6 0.8 1 Europena Option 60.0670 42.5358 27.9526 26.9625 17.4897 14.8537 10.5663 8.0417 3.8148 6.2170 4.2950 1.8255 2.2691 0.8735 0.0000 0.4180 0.0000 0.0000 0.0000 0.0000 0.0000 Time 0 0.2
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Unformatted text preview: 0.4 0.6 0.8 1 Call tree 60.0670 42.5358 27.9526 26.9625 17.4897 14.8537 10.5663 8.0417 3.8148 6.2170 4.2950 1.8255 2.2691 0.8735 0.0000 0.4180 0.0000 0.0000 0.0000 0.0000 0.0000 Time 0.2 0.4 0.6 0.8 1 0.0000 0.0000 0.0000 0.0000 1.6557 0.0000 4.7910 3.2369 0.0000 8.7785 7.8173 6.3280 12.6795 12.2544 12.3709 17.4748 18.0370 22.6984 23.6885 27.5008 31.6021 Time 0.2 0.4 0.6 0.8 1 Put Tree 0.0000 0.0000 0.0000 0.0000 1.6557 0.0000 4.8576 3.2369 0.0000 9.1195 7.9475 6.3280 13.2839 12.5089 12.3709 18.5345 18.5345 23.6885 23.6885 27.9983 31.6021...
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This note was uploaded on 01/19/2011 for the course 15 15.407 taught by Professor Wang during the Fall '03 term at MIT.

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Option - 0.4 0.6 0.8 1 Call tree 60.0670 42.5358 27.9526...

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