ps_options_sol_c

ps_options_sol_c - 25a S=53 X=50 U=1.08(up 8 D=.92(down 8...

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25a. S=53 X=50 U=1.08 (up 8%) D=.92 (down 8%) r=4% T=1 Equations: N*57.24 + B*1.04 = 7.24 N*48.76 + B*1.04 = 0 ------------------------ N*8.48 = 7.24 N = .8538 ==> B = (-48.76 * .8538)/1.04 = -40.0289 ==> C = 53*(.8538) + -40.0289*1 = \$5.22 Trees: S-up:57.24 S:53 S-down:48.76 B-up:1.04 (4%) B:1 B-down:1.04 (4%) C-up:7.24 C: C-down:0 25b. answer: Put: \$.298, N=-.146226, B=8.048077 calculations: S=53, X=50, U=1.08 (+8%), D=.92 (-8%), r=4%, T=1 N*57.24 + B*1.04 = 0 N*48.76 + B*1.04 = 1.24 Trees: S-up:57.24 S:53 S-down:48.76 B-up:1.04 (4%) B:1 B-down:1.04 (4%) P-up: 0 P: P-down: 1.24 26. answer: Call: \$3.6634, N=.622549, B=-28.0865 Put: \$.7404, N=-.37745, B=19.99 calculations: S=51, X=50, U=1.08 (+8%), D=.92 (-8%), r=4%, T=1 Call equations: N*55.08 + B*1.04 = 5.08 N*46.92 + B*1.04 = 0 Put equations: N*55.08 + B*1.04 = 0 N*46.92 + B*1.04 = 3.08 Trees: S-up:55.08 S:51 S-down:46.92 B-up:1.04 (4%) B:1 B-down:1.04 (4%) C-up: 5.08 C: C-down: 0 P-up: 0 P: P-down: 3.08 27. answer: Call: \$1.615, N=.264151, B=-12.384615 Put: \$1.50, N=-.735849, B=40.50 calculations: S=53, X=55, U=1.08 (+8%), D=.92 (-8%), r=4%, T=1 Call equations: N*57.24 + B*1.04 = 2.24 N*48.76 + B*1.04 = 0 Put equations: N*57.24 + B*1.04 = 0 N*48.76 + B*1.04 = 6.24 Trees: S-up:57.24 S:51 S-down:48.76 B-up:1.04 (4%) B:1 B-down:1.04 (4%)

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