case06 - 38.8000 38.8000 Value 25.1089 t=1 replicating...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
u 1.25 RNPs K 90 d 0.8 p_u 0.4667 r 1.01 p_d 0.5333 Stock tree Put tree 100 125 156.25 195.31 9.58 2.79 0.00 0.00 80 100 125.00 15.70 5.28 0.00 64 80.00 25.11 10.00 51.20 38.80 Deltas Cash positions -0.2869 -0.0939 0 38.2676 14.5229 0.0000 -0.5508 -0.2222 59.7618 27.5028 -1.0000 89.1089 Alternatively (more details on the replicating portfolios) t=2 replicating portfolios uu state Payoffs stocPortfolio payOption payoffs Delta 0 0.0000 0.0000 0.0000 B 0 0.0000 0.0000 0.0000 0 ud state Payoffs stocPortfolio payOption payoffs E[CF] Implied E[r] Delta -0.2222 125.0000 0.0000 0.0000 5 -0.0531246 B 27.5028 80.0000 10.0000 10.0000 Value 5.2805 dd state Payoffs stocPortfolio payOption payoffs E[CF] Implied E[r] Delta -1.0000 80.0000 10.0000 10.0000 24.4 -0.0282332 B 89.1088 51.2000
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 38.8000 38.8000 Value 25.1089 t=1 replicating portfolios u state Payoffs stocPortfolio payOption payoffs E[CF] Implied E[r] Delta-0.0939-11.73449 156.2500 0.0000 0.0000 2.50 -0.0531246 B 14.5229 14.5229 100.0000 5.2805 5.2805 Value 2.7884 d state Payoffs stocPortfolio payOption payoffs E[CF] Implied E[r] Delta-0.5508 -44.063101 100.0000 5.2805 5.2805 14.70 -0.0323298 B 59.7618 59.7618 64.0000 25.1089 25.1089 Value 15.6987 t=0 replicating portfolio Payoffs stocPortfolio payOption payoffs E[CF] Implied E[r] Delta-0.2869 125.0000 2.7884 2.7884 8.60 -0.035268 B 38.2676 80.0000 15.6986 15.6987 Value 9.5781...
View Full Document

{[ snackBarMessage ]}

Ask a homework question - tutors are online