case07 - Current stock price 25 sigma 0.2 RNPs T 0.25 u...

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Unformatted text preview: Current stock price 25 sigma 0.2 RNPs T 0.25 u 1.0594 pu 0.5208336 n 3 d 0.9439 pd 0.4791664 rf 1.05 r 1.0041 Stock tree 25.00 26.49 28.06 29.73 23.60 25.00 26.49 22.27 23.60 21.02 Call tree Strike 25 1.23 2.01 3.16 4.73 0.40 0.77 1.49 0.00 0.00 0.00 Prices of pure securities Value of call 0.1396 0.66 0.3852 0.57 0.3544 - 0.1087 - sum 0.9879 1.23 check 1 ReplicatingDelta B t=0 0.57-13.04 Stock price t=1 up 0.68-16.03 25 t=1 down 0.44-9.96 Option valu 1.13 Volalitity 0.2 sigma 0.2 RNPs T 0.25 u 1.0293 pu 0.5103958 0.5098772 n 12 d 0.9715 pd 0.4896042 0.4891068 rf 1.05 r 1.0010 Stock tree 1 2 3 4 5 6 7 8 9 10 11 12 25.00 25.73 26.49 27.26 28.06 28.88 29.73 30.60 31.49 32.42 33.37 34.34 35.35 0.000 24.29 25.00 25.73 26.49 27.26 28.06 28.88 29.73 30.60 31.49 32.42 33.37 23.60 24.29 25.00 25.73 26.49 27.26 28.06 28.88 29.73 30.60 31.49 0.000 22.93 23.60 24.29 25.00 25.73 26.49 27.26 28.06 28.88 29.73 22.27 22.93 23.60 24.29 25.00 25.73 26.49 27.26 28.06 21.64 22.27 22.93 23.60 24.29 25.00 25.73 26.49 21.02 21.64 22.27 22.93 23.60 24.29 25.00 20.43 21.02 21.64 22.27 22.93 23.60 19.84 20.43 21.02 21.64 22.27 19.28 19.84 20.43 21.02 18.73 19.28 19.84 18.20 18.73 17.68 Strike 25 Call price tree 1.13 1.53 2.03 2.62 3.31 4.07 4.88 5.73 6.60 7.49 8.42 9.37 10.35 0.71 1.02 1.41 1.92 2.53 3.23 4.01 4.83 5.67 6.55 7.44 8.37 0.40 0.60 0.89 1.28 1.80 2.43 3.16 3.96 4.78 5.62 6.49 0.19 0.30 0.48 0.75 1.14 1.67 2.34 3.11 3.91 4.73 0.07 0.12 0.20 0.35 0.59 0.97 1.54 2.29 3.06 0.01 0.03 0.05 0.10 0.20 0.39 0.76 1.49 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Delta tree 0.57 0.68 0.79 0.89 0.95 0.99 1.00 1.00 1.00 1.00 1.00 1.00 0.44 0.56 0.69 0.81 0.91 0.98 1.00 1.00 1.00 1.00 1.00 0.31 0.42 0.55 0.70 0.84 0.95 1.00 1.00 1.00 1.00 0.18 0.27 0.39 0.55 0.72 0.89 1.00 1.00 1.00 0.08 0.13 0.22 0.35 0.54 0.77 1.00 1.00 0.02 0.04 0.08 0.14 0.28 0.52 1.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Borrowing tree-13.04-16.03-18.96-21.52-23.41-24.48-24.85-24.87-24.90-24.92-24.95-24.97-9.96-13.01-16.33-19.59-22.34-24.15-24.87-24.90-24.92-24.95-24.97-6.80-9.57-12.96-16.77-20.51-23.44-24.90-24.92-24.95-24.97-3.93-6.05-9.02-12.91-17.48-21.98-24.92-24.95-24.97-1.73-2.96-4.99-8.16-12.84-18.95-24.95-24.97-0.44-0.86-1.69-3.31-6.49-12.73-24.97 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Pascal's triangle 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 3 4 5 6 7 8 9 10 11 12 1 3 6 10 15 21 28 36 45 55 66 1 4 10 20 35 56 84 120 165 220 1 5 15 35 70 126 210 330 495 1 6 21 56 126 252 462 792 1 7 28 84 210 462 924 1 8 36 120 330 792 1 9 45 165 495 1 10 55 220 1 11 66 1 12 1 Number of up moves RNPs =BINOMDI=COMBIN Payoff fromValue 12 0.0003125 0.0003125 0.00031 0.0003125 1 10.35 0.00 11 0.0002998 0.0035975 0.00355 0.0035975 12 8.37 0.03 10 0.0002876 0.0189804 0.01875 0.0189804 66 6.49 0.12 9 0.0002759 0.06069069 0....
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This note was uploaded on 11/25/2011 for the course BUSI 588 taught by Professor Staff during the Fall '10 term at UNC.

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case07 - Current stock price 25 sigma 0.2 RNPs T 0.25 u...

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