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Quiz%202%20solution%201 - From:8001 in Consulting Standard...

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Unformatted text preview: From:8001 in Consulting Standard Model for Futures s: 52.04054 r= h: 0250- n: - K: . ... ._ 55 e-rh= u= 1.16183 d: Futures Price Tree 70.2474 60.4625 52.0405 52.0405 44.7917 38.5526 European Cali Pay—offs 14.9455 8.0812 0.9900 4.2557 0.6780 2.4767 0.4396 1.1230 0.3451 4.2557 0.1818 0.0000 0.0000 European Put Payuof‘fs 0.0000 2.8329 0.0000 7.0428 -0.2924 5.3776 ~0.5116 10.9310 -0.6449 7.0428 -0.7886 16.1217 -0.9900 008 . 3 0.98020 0.86071 81.6158 60.4625 44.7917 33.18 26.6158 5.4625 0.0000 0.0000 0.0000 0.0000 10.2083 21.8175 8100701828 8: -- ”004' 0:. 0.3 '6“ = 0.99005 p*= 0.45257 084181’2011 08:50 #008 P.0011’001 American Call Pay-offs [email protected] 26. 6158' / c. 8. 2180 0.9900 0. 6944 ®@ 0.4483 - 0.3451 0.1818 0.0000 American Put Pay-offs 7.1331 -0.5225 2.8329 -0.2924 11.1026 -0.8126 0.0000 0.0000 5.3776 —0.6449 16.4474 0.9900 0.0000 0.0000 0.0000 10.2083 21.8175 ...
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